  Distributional approaches to value-based reinforcement learning model the
entire distribution of returns, rather than just their expected values, and
have recently been shown to yield state-of-the-art empirical performance. This
was demonstrated by the recently proposed C51 algorithm, based on categorical
distributional reinforcement learning (CDRL) [Bellemare et al., 2017]. However,
the theoretical properties of CDRL algorithms are not yet well understood. In
this paper, we introduce a framework to analyse CDRL algorithms, establish the
importance of the projected distributional Bellman operator in distributional
RL, draw fundamental connections between CDRL and the Cram\'er distance, and
give a proof of convergence for sample-based categorical distributional
reinforcement learning algorithms.

Machine Learning