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Near-Optimal Model-Free Reinforcement Learning in Non-Stationary Episodic MDPs
Weichao Mao · Kaiqing Zhang · Ruihao Zhu · David Simchi-Levi · Tamer Basar

Wed Jul 21 09:00 PM -- 11:00 PM (PDT) @
We consider model-free reinforcement learning (RL) in non-stationary Markov decision processes. Both the reward functions and the state transition functions are allowed to vary arbitrarily over time as long as their cumulative variations do not exceed certain variation budgets. We propose Restarted Q-Learning with Upper Confidence Bounds (RestartQ-UCB), the first model-free algorithm for non-stationary RL, and show that it outperforms existing solutions in terms of dynamic regret. Specifically, RestartQ-UCB with Freedman-type bonus terms achieves a dynamic regret bound of $\widetilde{O}(S^{\frac{1}{3}} A^{\frac{1}{3}} \Delta^{\frac{1}{3}} H T^{\frac{2}{3}})$, where $S$ and $A$ are the numbers of states and actions, respectively, $\Delta>0$ is the variation budget, $H$ is the number of time steps per episode, and $T$ is the total number of time steps. We further show that our algorithm is \emph{nearly optimal} by establishing an information-theoretical lower bound of $\Omega(S^{\frac{1}{3}} A^{\frac{1}{3}} \Delta^{\frac{1}{3}} H^{\frac{2}{3}} T^{\frac{2}{3}})$, the first lower bound in non-stationary RL. Numerical experiments validate the advantages of RestartQ-UCB in terms of both cumulative rewards and computational efficiency. We further demonstrate the power of our results in the context of multi-agent RL, where non-stationarity is a key challenge.

Author Information

Weichao Mao (University of Illinois at Urbana-Champaign)
Kaiqing Zhang (MIT)
Ruihao Zhu (MIT)
David Simchi-Levi (MIT)
Tamer Basar (University of Illinois at Urbana-Champaign)

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