Online Learning in Kernelized Markov Decision Processes


Sayak Ray Chowdhury, Aditya Gopalan ;
Proceedings of Machine Learning Research, PMLR 89:3197-3205, 2019.


We consider online learning for minimizing regret in unknown, episodic Markov decision processes (MDPs) with continuous states and actions. We develop variants of the UCRL and posterior sampling algorithms that employ non-parametric Gaussian process priors to generalize across the state and action spaces. When the transition and reward functions of the true MDP are members of the associated Reproducing Kernel Hilbert Spaces of functions induced by symmetric psd kernels, we show that the algorithms en-joy sublinear regret bounds. The bounds are in terms of explicit structural parameters of the kernels, namely a novel generalization of the information gain metric from kernelized bandit, and highlight the influence of transition and reward function structure on the learning performance. Our results are applicable to multi-dimensional state and action spaces with composite kernel structures, and generalize results from the literature on kernelized bandits, and the adaptive control of parametric linear dynamical systems with quadratic costs.

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