Related papers: Logarithmic regret bounds for continuous-time aver…
Markov decision processes (MDPs) are widely used in modeling decision making problems in stochastic environments. However, precise specification of the reward functions in MDPs is often very difficult. Recent approaches have focused on…
We are interested in risk constraints for infinite horizon discrete time Markov decision processes (MDPs). Starting with average reward MDPs, we show that increasing concave stochastic dominance constraints on the empirical distribution of…
Many policy-based reinforcement learning (RL) algorithms can be viewed as instantiations of approximate policy iteration (PI), i.e., where policy improvement and policy evaluation are both performed approximately. In applications where the…
We consider the problem of constrained Markov Decision Process (CMDP) where an agent interacts with a unichain Markov Decision Process. At every interaction, the agent obtains a reward. Further, there are $K$ cost functions. The agent aims…
Reinforcement learning (RL) in large environments often suffers from severe computational bottlenecks, as conventional regret minimization algorithms require repeated, costly calls to planning and statistical estimation oracles. While…
We consider reinforcement learning in changing Markov Decision Processes where both the state-transition probabilities and the reward functions may vary over time. For this problem setting, we propose an algorithm using a sliding window…
Reinforcement learning (RL) in Markov decision processes (MDPs) with large state spaces is a challenging problem. The performance of standard RL algorithms degrades drastically with the dimensionality of state space. However, in practice,…
We consider the finite horizon continuous reinforcement learning problem. Our contribution is three-fold. First,we give a tractable algorithm based on optimistic value iteration for the problem. Next,we give a lower bound on regret of order…
Reinforcement learning algorithms are usually stated without theoretical guarantees regarding their performance. Recently, Jin, Yang, Wang, and Jordan (COLT 2020) showed a polynomial-time reinforcement learning algorithm (namely, LSVI-UCB)…
This paper establishes that optimistic algorithms attain gap-dependent and non-asymptotic logarithmic regret for episodic MDPs. In contrast to prior work, our bounds do not suffer a dependence on diameter-like quantities or ergodicity, and…
We present a general framework for applying machine-learning algorithms to the verification of Markov decision processes (MDPs). The primary goal of these techniques is to improve performance by avoiding an exhaustive exploration of the…
Hierarchical Reinforcement Learning (HRL) approaches have shown successful results in solving a large variety of complex, structured, long-horizon problems. Nevertheless, a full theoretical understanding of this empirical evidence is…
Markov reward processes (MRPs) are used to model stochastic phenomena arising in operations research, control engineering, robotics, and artificial intelligence, as well as communication and transportation networks. In many of these cases,…
We study risk-sensitive reinforcement learning (RL) based on an entropic risk measure in episodic non-stationary Markov decision processes (MDPs). Both the reward functions and the state transition kernels are unknown and allowed to vary…
Markov Decision Processes (MDPs) have been used to formulate many decision-making problems in science and engineering. The objective is to synthesize the best decision (action selection) policies to maximize expected rewards (or minimize…
We study reinforcement learning with multinomial logistic (MNL) function approximation where the underlying transition probability kernel of the Markov decision processes (MDPs) is parametrized by an unknown transition core with features of…
We study the role of the representation of state-action value functions in regret minimization in finite-horizon Markov Decision Processes (MDPs) with linear structure. We first derive a necessary condition on the representation, called…
We introduce and study constrained Markov Decision Processes (cMDPs) with anytime constraints. An anytime constraint requires the agent to never violate its budget at any point in time, almost surely. Although Markovian policies are no…
We consider the adversarial Markov Decision Process (MDP) problem, where the rewards for the MDP can be adversarially chosen, and the transition function can be either known or unknown. In both settings, Follow-the-PerturbedLeader (FPL)…
The curse of dimensionality renders Reinforcement Learning (RL) impractical in many real-world settings with exponentially large state and action spaces. Yet, many environments exhibit exploitable structure that can accelerate learning. To…