## Online Reinforcement Learning via Posterior Sampling of Policy

22 Sept 2022, 12:37 (modified: 17 Nov 2022, 10:52)ICLR 2023 Conference Blind SubmissionReaders: Everyone
Abstract: We propose a Reward-Weighted Posterior Sampling of Policy (RWPSP) algorithm to tackle the classic trade-off problem between exploration and exploitation under finite Markov decision processes (MDPs). The Thompson sampling method so far has only considered posterior sampling over transition probabilities, which is hard to gain the globally sub-optimal rewards. RWPSP runs posterior sampling over stationary policy distributions instead of transition probabilities, and meanwhile keeps transition probabilities updated. Particularly, we leverage both relevant count functions and reward-weighting to online update the policy posterior, aiming to balance between local and long-term policy distributions for a globally near-optimal game value. Theoretically, we establish a bound of $\tilde{\mathcal{O}}(\Gamma\sqrt{T}/S^{2})$\footnote{The symbol $\tilde{\mathcal{O}}$ hides logarithmic factors.} on the total regret in time horizon $T$ with $\Gamma/S^{2} < D\sqrt{SA}$ satisfied in general, where $S$ and $A$ represents the sizes of state and action spaces, respectively, $D$ the diameter. This matches the best regret bound thus far for MDPs. Experimental results corroborate our theoretical results and show the advantage of our algorithm over the state of the art in terms of efficiency.
Anonymous Url: I certify that there is no URL (e.g., github page) that could be used to find authors’ identity.
No Acknowledgement Section: I certify that there is no acknowledgement section in this submission for double blind review.
Code Of Ethics: I acknowledge that I and all co-authors of this work have read and commit to adhering to the ICLR Code of Ethics
Submission Guidelines: Yes
Please Choose The Closest Area That Your Submission Falls Into: Reinforcement Learning (eg, decision and control, planning, hierarchical RL, robotics)
9 Replies