**Keywords:**linear bandits, linear function approximation, regret minimization, reinforcement learning theory**TL;DR:**We design a new confidene set for linear bandits and linear mixture MDP, and derive variance-aware regret bounds.**Abstract:**This paper presents new \emph{variance-aware} confidence sets for linear bandits and linear mixture Markov Decision Processes (MDPs). With the new confidence sets, we obtain the follow regret bounds: For linear bandits, we obtain an $\widetilde{O}(\mathrm{poly}(d)\sqrt{1 + \sum_{k=1}^{K}\sigma_k^2})$ data-dependent regret bound, where $d$ is the feature dimension, $K$ is the number of rounds, and $\sigma_k^2$ is the \emph{unknown} variance of the reward at the $k$-th round. This is the first regret bound that only scales with the variance and the dimension but \emph{no explicit polynomial dependency on $K$}. When variances are small, this bound can be significantly smaller than the $\widetilde{\Theta}\left(d\sqrt{K}\right)$ worst-case regret bound. For linear mixture MDPs, we obtain an $\widetilde{O}(\mathrm{poly}(d, \log H)\sqrt{K})$ regret bound, where $d$ is the number of base models, $K$ is the number of episodes, and $H$ is the planning horizon. This is the first regret bound that only scales \emph{logarithmically} with $H$ in the reinforcement learning with linear function approximation setting, thus \emph{exponentially improving} existing results, and resolving an open problem in \citep{zhou2020nearly}. We develop three technical ideas that may be of independent interest: 1) applications of the peeling technique to both the input norm and the variance magnitude, 2) a recursion-based estimator for the variance, and 3) a new convex potential lemma that generalizes the seminal elliptical potential lemma.**Supplementary Material:**pdf**Code Of Conduct:**I certify that all co-authors of this work have read and commit to adhering to the NeurIPS Statement on Ethics, Fairness, Inclusivity, and Code of Conduct.

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