Many sequential decision making problems under uncertainty arising in engineering, science and economics are often modelled as Markov Decision Processes (MDPs). In the setting of MDPs, the goal is to and a state dependent optimal sequence of actions that minimizes a certain long-term performance criterion. The standard dynamic programming approach to solve an MDP for the optimal decisions requires a complete model of the MDP and is computationally feasible only for small state-action MDPs. Reinforcement learning (RL) methods, on the other hand, are model-free simulation based approaches for solving MDPs. In many real world applications, one is often faced with MDPs that have large state-action spaces whose model is unknown, however, whose outcomes can be simulated. In order to solve such (large) MDPs, one either resorts to the technique of function approximation in conjunction with RL methods or develops application specific RL methods. A solution based on RL methods with function approximation comes with the associated problem of choosing the right features for approximation and a solution based on application specific RL methods primarily relies on utilizing the problem structure. In this thesis, we investigate the problem of choosing the right features for RL methods based on function approximation as well as develop novel RL algorithms that adaptively obtain best features for approximation. Subsequently, we also develop problem specie RL methods for applications arising in the areas of wireless sensor networks and road traffic control. In the first part of the thesis, we consider the problem of finding the best features for value function approximation in reinforcement learning for the long-run discounted cost objective. We quantify the error in the approximation for any given feature and the approximation parameter by the mean square Bellman error (MSBE) objective and develop an online algorithm to optimize MSBE. Subsequently, we propose the first online actor-critic scheme with adaptive bases to find a locally optimal (control) policy for an MDP under the weighted discounted cost objective. The actor performs gradient search in the space of policy parameters using simultaneous perturbation stochastic approximation (SPSA) gradient estimates. This gradient computation however requires estimates of the value function of the policy. The value function is approximated using a linear architecture and its estimate is obtained from the critic. The error in approximation of the value function, however, results in sub-optimal policies. Thus, we obtain the best features by performing a gradient descent on the Grassmannian of features to minimize a MSBE objective. We provide a proof of convergence of our control algorithm to a locally optimal policy and show numerical results illustrating the performance of our algorithm. In our next work, we develop an online actor-critic control algorithm with adaptive feature tuning for MDPs under the long-run average cost objective. In this setting, a gradient search in the policy parameters is performed using policy gradient estimates to improve the performance of the actor. The computation of the aforementioned gradient however requires estimates of the differential value function of the policy. In order to obtain good estimates of the differential value function, the critic adaptively tunes the features to obtain the best representation of the value function using gradient search in the Grassmannian of features. We prove that our actor-critic algorithm converges to a locally optimal policy. Experiments on two different MDP settings show performance improvements resulting from our feature adaptation scheme. In the second part of the thesis, we develop problem specific RL solution methods for the two aforementioned applications. In both the applications, the size of the state-action space in the formulated MDPs is large. However, by utilizing the problem structure we develop scalable RL algorithms. In the wireless sensor networks application, we develop RL algorithms to find optimal energy management policies (EMPs) for energy harvesting (EH) sensor nodes. First, we consider the case of a single EH sensor node and formulate the problem of finding an optimal EMP in the discounted cost MDP setting. We then propose two RL algorithms to maximize network performance. Through simulations, our algorithms are seen to outperform the algorithms in the literature. Our RL algorithms for the single EH sensor node do not scale when there are multiple sensor nodes. In our second work, we consider the problem of finding optimal energy sharing policies that maximize the network performance of a system comprising of multiple sensor nodes and a single energy harvesting (EH) source. We develop efficient energy sharing algorithms, namely Q-learning algorithm with exploration mechanisms based on the -greedy method as well as upper confidence bound (UCB). We extend these algorithms by incorporating state and action space aggregation to tackle state-action space explosion in the MDP. We also develop a cross entropy based method that incorporates policy parameterization in order to find near optimal energy sharing policies. Through numerical experiments, we show that our algorithms yield energy sharing policies that outperform the heuristic greedy method. In the context of road traffic control, optimal control of traffic lights at junctions or traffic signal control (TSC) is essential for reducing the average delay experienced by the road users. This problem is hard to solve when simultaneously considering all the junctions in the road network. So, we propose a decentralized multi-agent reinforcement learning (MARL) algorithm for solving this problem by considering each junction in the road network as a separate agent (controller) to obtain dynamic TSC policies. We propose two approaches to minimize the average delay. In the first approach, each agent decides the signal duration of its phases in a round-robin (RR) manner using the multi-agent Q-learning algorithm. We show through simulations over VISSIM (microscopic traffic simulator) that our round-robin MARL algorithms perform significantly better than both the standard fixed signal timing (FST) algorithm and the saturation balancing (SAT) algorithm over two real road networks. In the second approach, instead of optimizing green light duration, each agent optimizes the order of the phase sequence. We then employ our MARL algorithms by suitably changing the state-action space and cost structure of the MDP. We show through simulations over VISSIM that our non-round robin MARL algorithms perform significantly better than the FST, SAT and the round-robin MARL algorithms based on the first approach. However, on the other hand, our round-robin MARL algorithms are more practically viable as they conform with the psychology of road users.