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Improved Analysis of UCRL2 with Empirical Bernstein Inequality

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arxiv 2007.05456 v1 pith:FUI2FKBT submitted 2020-07-10 cs.LG stat.ML

Ronan Fruit , Matteo Pirotta , Alessandro Lazaric This is my paper
classification cs.LGstat.ML
keywords analysisbernsteinempiricalgammastatesucrl2ucrl2bactions
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abstract

We consider the problem of exploration-exploitation in communicating Markov Decision Processes. We provide an analysis of UCRL2 with Empirical Bernstein inequalities (UCRL2B). For any MDP with $S$ states, $A$ actions, $\Gamma \leq S$ next states and diameter $D$, the regret of UCRL2B is bounded as $\widetilde{O}(\sqrt{D\Gamma S A T})$.

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