Span-Based Optimal Sample Complexity for Weakly Communicating and General Average Reward MDPs
<|reference_start|>Span-Based Optimal Sample Complexity for Weakly Communicating and General Average Reward MDPs: We study the sample complexity of learning an $\varepsilon$-optimal policy in an average-reward Markov decision process (MDP) under a generative model. For weakly communicating MDPs, we establish the complexity bound $\widetilde{O}(SA\frac{H}{\varepsilon^2} )$, where $H$ is the span of the bias function of the optimal policy and $SA$ is the cardinality of the state-action space. Our result is the first that is minimax optimal (up to log factors) in all parameters $S,A,H$, and $\varepsilon$, improving on existing work that either assumes uniformly bounded mixing times for all policies or has suboptimal dependence on the parameters. We also initiate the study of sample complexity in general (multichain) average-reward MDPs. We argue a new transient time parameter $B$ is necessary, establish an $\widetilde{O}(SA\frac{B + H}{\varepsilon^2})$ complexity bound, and prove a matching (up to log factors) minimax lower bound. Both results are based on reducing the average-reward MDP to a discounted MDP, which requires new ideas in the general setting. To optimally analyze this reduction, we develop improved bounds for $\gamma$-discounted MDPs, showing that $\widetilde{O}(SA\frac{H}{(1-\gamma)^2\varepsilon^2} )$ and $\widetilde{O}(SA\frac{B + H}{(1-\gamma)^2\varepsilon^2} )$ samples suffice to learn $\varepsilon$-optimal policies in weakly communicating and in general MDPs, respectively. Both these results circumvent the well-known minimax lower bound of $\widetilde{\Omega}(SA\frac{1}{(1-\gamma)^3\varepsilon^2} )$ for $\gamma$-discounted MDPs, and establish a quadratic rather than cubic horizon dependence for a fixed MDP instance.<|reference_end|>
@article{zurek2024span-based,
    title={Span-Based Optimal Sample Complexity for Weakly Communicating and
  General Average Reward MDPs},
    author={Matthew Zurek, Yudong Chen},
    journal={arXiv preprint arXiv:2403.11477},
    year={2024},
    archivePrefix={arXiv},
    eprint={2403.11477},
    primaryClass={cs.LG cs.IT math.IT math.OC stat.ML}
}