Learning Unknown Markov Decision Processes: A Thompson Sampling Approach

NeurIPS 2017 Yi OuyangMukul GagraniAshutosh NayyarRahul Jain

We consider the problem of learning an unknown Markov Decision Process (MDP) that is weakly communicating in the infinite horizon setting. We propose a Thompson Sampling-based reinforcement learning algorithm with dynamic episodes (TSDE)... (read more)

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