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Model-based Reinforcement Learning and the Eluder Dimension
Ian Osband · Benjamin Van Roy

Mon Dec 08 04:00 PM -- 08:59 PM (PST) @ Level 2, room 210D #None
We consider the problem of learning to optimize an unknown Markov decision process (MDP). We show that, if the MDP can be parameterized within some known function class, we can obtain regret bounds that scale with the dimensionality, rather than cardinality, of the system. We characterize this dependence explicitly as $\tilde{O}(\sqrt{d_K d_E T})$ where $T$ is time elapsed, $d_K$ is the Kolmogorov dimension and $d_E$ is the \emph{eluder dimension}. These represent the first unified regret bounds for model-based reinforcement learning and provide state of the art guarantees in several important settings. Moreover, we present a simple and computationally efficient algorithm \emph{posterior sampling for reinforcement learning} (PSRL) that satisfies these bounds.

Author Information

Ian Osband (Stanford)
Benjamin Van Roy (Stanford University)

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