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arXiv · 1808.01813

Regret Bounds for Reinforcement Learning via Markov Chain Concentration

Ronald Ortner
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Abstract

We give a simple optimistic algorithm for which it is easy to derive regret bounds of $\tilde{O}(\sqrt{t_{\rm mix} SAT})$ after $T$ steps in uniformly ergodic Markov decision processes with $S$ states, $A$ actions, and mixing time parameter $t_{\rm mix}$. These bounds are the first regret bounds in the general, non-episodic setting with an optimal dependence on all given parameters. They could only be improved by using an alternative mixing time parameter.

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Ronald Ortner. 2018-08-06. Regret Bounds for Reinforcement Learning via Markov Chain Concentration. https://arxiv.org/abs/1808.01813

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