Near-optimal Regret Bounds for Reinforcement Learning
For undiscounted reinforcement learning in Markov decision processes (MDPs) we consider the total regret of a learning algorithm with respect to an optimal policy. In order to describe the transition structure of an MDP we propose a new parameter: An MDP has diameter D if for any pair of states s1,s2 there is a policy which moves from s1 to s2 in at most D steps (on average). We present a reinforcement learning algorithm with total regret O(DSAT) after T steps for any unknown MDP with S states, A actions per state, and diameter D. This bound holds with high probability. We also present a corresponding lower bound of Omega(DSAT) on the total regret of any learning algorithm. Both bounds demonstrate the utility of the diameter as structural parameter of the MDP.
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