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Let $\mathcal{X}=:\{x_1, x_2, x_3,...,x_n\}$ be the state space. Let $\mathcal{U}:=\{u_1, u_2, u_3,...,u_m\}$ be the set of actions. Let $A^{u_1}, A^{u_2}, A^{u_3},...,A^{u_m}$ be the state transition matrices corresponding to the actions $u_1, u_2, u_3,...,u_m$ respectively. Let $a^{u_k}_{i,j}$ denotes the $(i,j)^{th}$ entry of matrix $A^{u_k}$, i.e., $a^{u_k}_{i,j}=(A^{u_k})_{i,j}$, where $k\in\{1,2,3,...,m\}$. Let $\mathcal{R}(x_i,u_k)\in\mathbb{R}$ denotes the reward associated with the state $x_i$ and action $u_k$. Define the Bellman iteration map $\mathcal{B}:\mathbb{R}^n\rightarrow \mathbb{R}^n$ as: $$(Bv)_i=\max_{u_k\in\mathcal{U}} \{ \mathcal{R}(x_i,u_k)+\sum_{j=1}^{n}a^{u_k}_{i,j}(v)_i\}, $$ for an arbitrary vector $v\in\mathbb{R}^n$, where $(v)_i$ denotes the $i^{th}$ entry of $v$. Let $\pi_{0}:\mathcal{X}\rightarrow \mathcal{U}$ be a deterministic policy. Let $v_{\pi_{0}}$ is the value vector corresponding to the policy $\pi_{0}$. Now update the policy as follows: $$\pi_{1}(x_i)=\arg \max_{u_k\in\mathcal{U}} \{\mathcal{R}(x_i,u_k)+\sum_{j=1}^{n} a^{u_k}_{i,j}(v_{\pi_0})_j\}.$$ Now calculate the value vector $v_{\pi_1}$ corresponding to the policy $\pi_1$. Again update the policy as follows: $$\pi_{2}(x_i)=\arg \max_{u_k\in\mathcal{U}} \{\mathcal{R}(x_i,u_k)+\sum_{j=1}^{n} a^{u_k}_{i,j}(v_{\pi_1})_j\}.$$ Now calculate the value vector $v_{\pi_2}$ corresponding the policy $\pi_2$ and again update the policy as follows: $$\pi_{3}(x_i)=\arg \max_{u_k\in\mathcal{U}} \{\mathcal{R}(x_i,u_k)+\sum_{j=1}^{n} a^{u_k}_{i,j}(v_{\pi_2})_j\}.$$

We keep iterating the policy in this manner, i.e., $$\pi_{k+1}(x_i)=\arg \max_{u_k\in\mathcal{U}} \{\mathcal{R}(x_i,u_k)+\sum_{j=1}^{n} a^{u_k}_{i,j}(v_{\pi_k})_j\}.$$

Now, how I can prove the following:

(1) $v_{\pi_{k+1}}\geq v_{\pi_{k}}$

(2) $v_{\pi_{k}}$ converges to optimal value vector $v^{*}$ as $k$ tends to $\infty$

(3) $v_{\pi_{k+1}}= Bv_{\pi_{k}}$

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  • $\begingroup$ Not that it affects the math, but are you allowing all actions in all states? I'm used to having the set of actions be state-dependent. $\endgroup$ Aug 25, 2022 at 7:57

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