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Learning Adversarial MDPs with Stochastic Hard Constraints
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We study online learning in constrained Markov decision processes (CMDPs) with adversarial losses and stochastic hard constraints, under bandit feedback. We consider three scenarios. In the first one, we address general CMDPs, where we design an algorithm attaining sublinear regret and cumulative positive constraints violation. In the second scenario, under the mild assumption that a policy strictly satisfying the constraints exists and is known to the learner, we design an algorithm that achieves sublinear regret while ensuring that constraints are satisfied at every episode with high probability. In the last scenario, we only assume the existence of a strictly feasible policy, which is not known to the learner, and we design an algorithm attaining sublinear regret and constant cumulative positive constraints violation. Finally, we show that in the last two scenarios, a dependence on the Slater's parameter is unavoidable. To the best of our knowledge, our work is the first to study CMDPs involving both adversarial losses and hard constraints. Thus, our algorithms can deal with general non-stationary environments subject to requirements much stricter than those manageable with existing ones, enabling their adoption in a much wider range of applications.
Forward citations
Cited by 4 Pith papers
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Given a spending plan, primal-dual no-regret algorithms achieve tilde-O(sqrt T) dynamic or static regret under adversarially changing reward and cost distributions, and tilde-O(T^{3/4}) when the plan is highly imbalanced.
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An Optimistic Algorithm for online CMDPS with Anytime Adversarial Constraints
A primal-dual algorithm with optimistic mirror descent is claimed to achieve O~(sqrt K) regret and O~(sqrt K) strong constraint violation in episodic CMDPs with anytime adversarial constraints, without Slater's condition.
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