Provably Efficient Adaptive Approximate Policy Iteration
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Model-free reinforcement learning algorithms combined with value function approximation have recently achieved impressive performance in a variety of application domains, including games and robotics. However, the theoretical understanding of such algorithms is limited, and existing results are largely focused on episodic or discounted Markov decision processes (MDPs). In this work, we present adaptive approximate policy iteration (AAPI), a learning scheme which enjoys a O(T^2/3) regret bound for undiscounted, continuing learning in uniformly ergodic MDPs. This is an improvementover the best existing bound of O(T^3/4) for the average-reward case with function approximation. Our algorithm and analysis rely on adversarialonline learning techniques, where value functionsare treated as losses. The main technical novelty is the use of a data-dependent adaptive learning rate coupled with a so-called optimistic prediction of upcoming losses. In addition to theoreticalguarantees, we demonstrate the advantages of ourapproach empirically on several environments.
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