Settling Constant Regrets in Linear Markov Decision Processes
<|reference_start|>Settling Constant Regrets in Linear Markov Decision Processes: We study the constant regret guarantees in reinforcement learning (RL). Our objective is to design an algorithm that incurs only finite regret over infinite episodes with high probability. We introduce an algorithm, Cert-LSVI-UCB, for misspecified linear Markov decision processes (MDPs) where both the transition kernel and the reward function can be approximated by some linear function up to misspecification level $\zeta$. At the core of Cert-LSVI-UCB is an innovative certified estimator, which facilitates a fine-grained concentration analysis for multi-phase value-targeted regression, enabling us to establish an instance-dependent regret bound that is constant w.r.t. the number of episodes. Specifically, we demonstrate that for an MDP characterized by a minimal suboptimality gap $\Delta$, Cert-LSVI-UCB has a cumulative regret of $\tilde{\mathcal{O}}(d^3H^5/\Delta)$ with high probability, provided that the misspecification level $\zeta$ is below $\tilde{\mathcal{O}}(\Delta / (\sqrt{d}H^2))$. Remarkably, this regret bound remains constant relative to the number of episodes $K$. To the best of our knowledge, Cert-LSVI-UCB is the first algorithm to achieve a constant, instance-dependent, high-probability regret bound in RL with linear function approximation for infinite runs without relying on prior distribution assumptions. This not only highlights the robustness of Cert-LSVI-UCB to model misspecification but also introduces novel algorithmic designs and analytical techniques of independent interest.<|reference_end|>
@article{zhang2024settling,
    title={Settling Constant Regrets in Linear Markov Decision Processes},
    author={Weitong Zhang and Zhiyuan Fan and Jiafan He and Quanquan Gu},
    journal={arXiv preprint arXiv:2404.10745},
    year={2024},
    archivePrefix={arXiv},
    eprint={2404.10745},
    primaryClass={cs.LG}
}