Frequentist Regret Bounds for Randomized Least-Squares Value Iteration

Andrea Zanette, David Brandfonbrener, Emma Brunskill, Matteo Pirotta, Alessandro Lazaric
Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics, PMLR 108:1954-1964, 2020.

Abstract

We consider the exploration-exploitation dilemma in finite-horizon reinforcement learning (RL). When the state space is large or continuous, traditional tabular approaches are unfeasible and some form of function approximation is mandatory. In this paper, we introduce an optimistically-initialized variant of the popular randomized least-squares value iteration (RLSVI), a model-free algorithm where exploration is induced by perturbing the least-squares approximation of the action-value function. Under the assumption that the Markov decision process has low-rank transition dynamics, we prove that the frequentist regret of RLSVI is upper-bounded by $\widetilde O(d^2 H^2 \sqrt{T})$ where $ d $ are the feature dimension, $ H $ is the horizon, and $ T $ is the total number of steps. To the best of our knowledge, this is the first frequentist regret analysis for randomized exploration with function approximation.

Cite this Paper


BibTeX
@InProceedings{pmlr-v108-zanette20a, title = {Frequentist Regret Bounds for Randomized Least-Squares Value Iteration}, author = {Zanette, Andrea and Brandfonbrener, David and Brunskill, Emma and Pirotta, Matteo and Lazaric, Alessandro}, booktitle = {Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics}, pages = {1954--1964}, year = {2020}, editor = {Silvia Chiappa and Roberto Calandra}, volume = {108}, series = {Proceedings of Machine Learning Research}, month = {26--28 Aug}, publisher = {PMLR}, pdf = {http://proceedings.mlr.press/v108/zanette20a/zanette20a.pdf}, url = { http://proceedings.mlr.press/v108/zanette20a.html }, abstract = {We consider the exploration-exploitation dilemma in finite-horizon reinforcement learning (RL). When the state space is large or continuous, traditional tabular approaches are unfeasible and some form of function approximation is mandatory. In this paper, we introduce an optimistically-initialized variant of the popular randomized least-squares value iteration (RLSVI), a model-free algorithm where exploration is induced by perturbing the least-squares approximation of the action-value function. Under the assumption that the Markov decision process has low-rank transition dynamics, we prove that the frequentist regret of RLSVI is upper-bounded by $\widetilde O(d^2 H^2 \sqrt{T})$ where $ d $ are the feature dimension, $ H $ is the horizon, and $ T $ is the total number of steps. To the best of our knowledge, this is the first frequentist regret analysis for randomized exploration with function approximation.} }
Endnote
%0 Conference Paper %T Frequentist Regret Bounds for Randomized Least-Squares Value Iteration %A Andrea Zanette %A David Brandfonbrener %A Emma Brunskill %A Matteo Pirotta %A Alessandro Lazaric %B Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics %C Proceedings of Machine Learning Research %D 2020 %E Silvia Chiappa %E Roberto Calandra %F pmlr-v108-zanette20a %I PMLR %P 1954--1964 %U http://proceedings.mlr.press/v108/zanette20a.html %V 108 %X We consider the exploration-exploitation dilemma in finite-horizon reinforcement learning (RL). When the state space is large or continuous, traditional tabular approaches are unfeasible and some form of function approximation is mandatory. In this paper, we introduce an optimistically-initialized variant of the popular randomized least-squares value iteration (RLSVI), a model-free algorithm where exploration is induced by perturbing the least-squares approximation of the action-value function. Under the assumption that the Markov decision process has low-rank transition dynamics, we prove that the frequentist regret of RLSVI is upper-bounded by $\widetilde O(d^2 H^2 \sqrt{T})$ where $ d $ are the feature dimension, $ H $ is the horizon, and $ T $ is the total number of steps. To the best of our knowledge, this is the first frequentist regret analysis for randomized exploration with function approximation.
APA
Zanette, A., Brandfonbrener, D., Brunskill, E., Pirotta, M. & Lazaric, A.. (2020). Frequentist Regret Bounds for Randomized Least-Squares Value Iteration. Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics, in Proceedings of Machine Learning Research 108:1954-1964 Available from http://proceedings.mlr.press/v108/zanette20a.html .

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