Jul 12, 2020
Model-free reinforcement learning is known to be memory and computation efficient and more amendable to large scale problems. In this paper, two model-free algorithms are introduced for learning infinite-horizon average-reward Markov Decision Processes (MDPs). The first algorithm reduces the problem to the discounted-reward version and achieves O(T^2/3) regret after T steps, under the minimal assumption of weakly communicating MDPs. The second algorithm makes use of recent advances in adaptive algorithms for adversarial multi-armed bandits and improves the regret to O(√(T)), albeit with a stronger ergodic assumption. To the best of our knowledge, these are the first model-free algorithms with sub-linear regret (that is polynomial in all parameters) in the infinite-horizon average-reward setting.
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