Related papers: Provably Efficient Reinforcement Learning with Mul…

The constrained Markov decision process (CMDP) framework emerges as an important reinforcement learning approach for imposing safety or other critical objectives while maximizing cumulative reward. However, the current understanding of how…

We introduce a bandit framework for stochastic matching under the multinomial logit (MNL) choice model. In our setting, $N$ agents on one side are assigned to $K$ arms on the other side, where each arm stochastically selects an agent from…

We study online finite-horizon Markov Decision Processes with adversarially changing loss and aggregate bandit feedback (a.k.a full-bandit). Under this type of feedback, the agent observes only the total loss incurred over the entire…

Reinforcement Learning (RL) has achieved tremendous success in recent years. However, the classical foundations of RL do not account for the risk sensitivity of the objective function, which is critical in various fields, including…

We propose a black-box reduction that turns a certain reinforcement learning algorithm with optimal regret in a (near-)stationary environment into another algorithm with optimal dynamic regret in a non-stationary environment, importantly…

Balancing exploration and exploitation is crucial in reinforcement learning (RL). In this paper, we study model-based posterior sampling for reinforcement learning (PSRL) in continuous state-action spaces theoretically and empirically.…

We study finite-time horizon continuous-time linear-quadratic reinforcement learning problems in an episodic setting, where both the state and control coefficients are unknown to the controller. We first propose a least-squares algorithm…

In many real-world applications, it is hard to provide a reward signal in each step of a Reinforcement Learning (RL) process and more natural to give feedback when an episode ends. To this end, we study the recently proposed model of RL…

The theory of reinforcement learning currently suffers from a mismatch between its empirical performance and the theoretical characterization of its performance, with consequences for, e.g., the understanding of sample efficiency, safety,…

We consider combinatorial semi-bandits over a set of arms ${\cal X} \subset \{0,1\}^d$ where rewards are uncorrelated across items. For this problem, the algorithm ESCB yields the smallest known regret bound $R(T) = {\cal O}\Big( {d (\ln…

In this paper, we consider the multi-armed bandit problem with high-dimensional features. First, we prove a minimax lower bound, $\mathcal{O}\big((\log d)^{\frac{\alpha+1}{2}}T^{\frac{1-\alpha}{2}}+\log T\big)$, for the cumulative regret,…

In this short note we consider a dynamic assortment planning problem under the capacitated multinomial logit (MNL) bandit model. We prove a tight lower bound on the accumulated regret that matches existing regret upper bounds for all…

State-of-the-art efficient model-based Reinforcement Learning (RL) algorithms typically act by iteratively solving empirical models, i.e., by performing \emph{full-planning} on Markov Decision Processes (MDPs) built by the gathered…

We consider a multi-armed bandit problem where payoffs are a linear function of an observed stochastic contextual variable. In the scenario where there exists a gap between optimal and suboptimal rewards, several algorithms have been…

Linear Quadratic Regulators (LQR) achieve enormous successful real-world applications. Very recently, people have been focusing on efficient learning algorithms for LQRs when their dynamics are unknown. Existing results effectively learn to…

A standard assumption in Reinforcement Learning is that the agent observes every visited state-action pair in the associated Markov Decision Process (MDP), along with the per-step rewards. Strong theoretical results are known in this…

We provide an algorithm that achieves the optimal regret rate in an unknown weakly communicating Markov Decision Process (MDP). The algorithm proceeds in episodes where, in each episode, it picks a policy using regularization based on the…

Solving Partially Observable Markov Decision Processes (POMDPs) is hard. Learning optimal controllers for POMDPs when the model is unknown is harder. Online learning of optimal controllers for unknown POMDPs, which requires efficient…

We study regret minimization under privacy constraints in episodic inhomogeneous linear Markov Decision Processes (MDPs), motivated by the growing use of reinforcement learning (RL) in personalized decision-making systems that rely on…

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)…