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arXiv · 2502.04004

Near-optimal Regret Using Policy Optimization in Online MDPs with Aggregate Bandit Feedback

Tal Lancewicki·Yishay Mansour
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Abstract

We study online finite-horizon Markov Decision Processes with adversarially changing loss and aggregate bandit feedback (a.k.a full-bandit). Under this type of feedback, the agent observes only the total loss incurred over the entire trajectory, rather than the individual losses at each intermediate step within the trajectory. We introduce the first Policy Optimization algorithms for this setting. In the known-dynamics case, we achieve the first \textit{optimal} regret bound of $\tilde \Theta(H^2\sqrt{SAK})$, where $K$ is the number of episodes, $H$ is the episode horizon, $S$ is the number of states, and $A$ is the number of actions. In the unknown dynamics case we establish regret bound of $\tilde O(H^3 S \sqrt{AK})$, significantly improving the best known result by a factor of $H^2 S^5 A^2$.

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Tal Lancewicki, Yishay Mansour. 2025-02-06. Near-optimal Regret Using Policy Optimization in Online MDPs with Aggregate Bandit Feedback. https://arxiv.org/abs/2502.04004

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