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Poster
in
Workshop: Workshop on Reinforcement Learning Theory

Nearly Optimal Regret for Learning Adversarial MDPs with Linear Function Approximation

Jiafan He · Dongruo Zhou · Quanquan Gu


Abstract: Learning Markov decision processes (MDPs) in the presence of the adversary is a challenging problem in reinforcement learning (RL). In this paper, we study RL in episodic MDPs with adversarial reward and full information feedback, where the unknown transition probability function is a linear function of a given feature mapping, and the reward function can change arbitrarily episode by episode. We propose an optimistic policy optimization algorithm POWER and show that it can achieve $\tilde{O}(dH\sqrt{T})$ regret, where $H$ is the length of the episode, $T$ is the number of interaction with the MDP, and $d$ is the dimension of the feature mapping. Furthermore, we also prove a matching lower bound of $\tilde{\Omega}(dH\sqrt{T})$ up to logarithmic factors. Our key technical contributions are two-fold: (1) a new value function estimator based on importance weighting; and (2) a tighter confidence set for the transition kernel. They together lead to the nearly minimax optimal regret.

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