Jul 12, 2020
The construction in the recent paper by Du et al.  implies that searching for a near-optimal action in a bandit sometimes requires examining essentially all the actions, even if the learner is given linear features in R^d that approximate the rewards with a small uniform error. We use the Kiefer-Wolfowitz theorem to prove a positive result that by checking only a few actions, a learner can always find an action that is suboptimal with an error of at most O(ε√d) where ε is the approximation error of the features. Thus, features are useful when the approximation error is small relative to the dimensionality of the features. The idea is applied to stochastic bandits and reinforcement learning with a generative model where the learner has access to d-dimensional linear features that approximate the action-value functions for all policies to an accuracy of ε. For linear bandits, we prove a bound on the regret of order d√(n log(k)) + εn√d log(n) with k the number of actions and n the horizon. For RL we show that approximate policy iteration can learn a policy that is optimal up to an additive error of order ε√d/(1 − γ)^2 and using about d/(ε^2(1 − γ)^4) samples from the generative model. These bounds are independent of the finer details of the features. We also investigate how the structure of the feature set impacts the tradeoff between sample complexity and estimation error.
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