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Poster

Rate-Optimal Policy Optimization for Linear Markov Decision Processes

Uri Sherman · Alon Cohen · Tomer Koren · Yishay Mansour

Hall C 4-9 #1307
[ ] [ Paper PDF ]
[ Poster] 
Wed 24 Jul 4:30 a.m. PDT — 6 a.m. PDT
 
Oral presentation: Oral 4A Reinforcement Learning 2
Wed 24 Jul 7:30 a.m. PDT — 8:30 a.m. PDT

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.

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