Learning Adversarial Markov Decision Processes with Bandit Feedback and Unknown Transition

Jul 12, 2020



We consider the task of learning in episodic finite-horizon Markov decision processes with an unknown transition function, bandit feedback, and adversarial losses. We propose an efficient algorithm that achieves O(√L|X|AT ) regret with high probability, where L is the horizon, |X| the number of states, |A| the number of actions, and T the number of episodes. To our knowledge, our algorithm is the first to ensure O(√T) regret in this challenging setting; in fact, it achieves the same regret as (Rosenberg Mansour, 2019a) who consider the easier setting with full-information. Our key contributions are two-fold: a tighter confidence set for the transition function; and an optimistic loss estimator that is inversely weighted by an "upper occupancy bound".



About ICML 2020

The International Conference on Machine Learning (ICML) is the premier gathering of professionals dedicated to the advancement of the branch of artificial intelligence known as machine learning. ICML is globally renowned for presenting and publishing cutting-edge research on all aspects of machine learning used in closely related areas like artificial intelligence, statistics and data science, as well as important application areas such as machine vision, computational biology, speech recognition, and robotics. ICML is one of the fastest growing artificial intelligence conferences in the world. Participants at ICML span a wide range of backgrounds, from academic and industrial researchers, to entrepreneurs and engineers, to graduate students and postdocs.

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