Rate-Optimal Policy Optimization for Linear Markov Decision Processes

Uri Sherman, Alon Cohen, Tomer Koren, Yishay Mansour

Keywords: Reinforcement Learning, Function Approximation, Online Optimization

TL;DR: We present a computationally efficient policy optimization algorithm that achieves the optimal rate (in terms of the number of episodes) of regret for adversarial losses with full feedback.

Abstract: We study regret minimization in online episodic linear Markov Decision Processes, and propose a policy optimization algorithm that is computationally efficient, and obtains rate optimal $\widetilde O (\sqrt K)$ regret where $K$ denotes the number of episodes. Our work is the first to establish the optimal rate (in terms of~$K$) of convergence in the stochastic setting with bandit feedback using a policy optimization based approach, and the first to establish the optimal rate in the adversarial setup with full information feedback, for which no algorithm with an optimal rate guarantee was previously known.

Already Accepted Paper At Another Venue: already accepted somewhere else

Submission Number: 42