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Poster

Nearly Minimax Optimal Regret for Learning Infinite-horizon Average-reward MDPs with Linear Function Approximation

Yue Wu · Dongruo Zhou · Quanquan Gu


Abstract: We study reinforcement learning in an infinite-horizon average-reward setting with linear function approximation for linear mixture Markov decision processes (MDPs), where the transition probability function of the underlying MDP admits a linear form over a feature mapping of the current state, action, and next state. We propose a new algorithm UCRL2-VTR, which can be seen as an extension of the UCRL2 algorithm with linear function approximation. We show that UCRL2-VTR with Bernstein-type bonus can achieve a regret of ˜O(dDT)~O(dDT), where d is the dimension of the feature mapping, T is the horizon, and D is the diameter of the MDP. We also prove a matching lower bound ˜Ω(dDT), which suggests that the proposed UCRL2-VTR is minimax optimal up to logarithmic factors. To the best of our knowledge, our algorithm is the first nearly minimax optimal RL algorithm with function approximation in the infinite-horizon average-reward setting.

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