On the Sample Complexity of Reinforcement Learning with a Generative Model

International audienceWe consider the problem of learning the optimal action-value function in the discounted-reward Markov decision processes (MDPs). We prove a new PAC bound on the sample-complexity of model-based value iteration algorithm in the presence of the generative model, which indicates that for an MDP with N state-action pairs and the discount factor \gamma\in[0,1) only O(N\log(N/\delta)/((1-\gamma)^3\epsilon^2)) samples are required to find an \epsilon-optimal estimation of the action-value function with the probability 1-\delta. We also prove a matching lower bound of \Theta (N\log(N/\delta)/((1-\gamma)^3\epsilon^2)) on the sample complexity of estimating the optimal action-value function by every RL algorithm. To the best of our knowledge, this is the first matching result on the sample complexity of estimating the optimal (action-) value function in which the upper bound matches the lower bound of RL in terms of N, \epsilon, \delta and 1/(1-\gamma). Also, both our lower bound and our upper bound significantly improve on the state-of-the-art in terms of 1/(1-\gamma)

Minimax PAC bounds on the sample complexity of reinforcement learning with a generative model

International audienceWe consider the problem of learning the optimal action-value function in discounted-reward Markov decision processes (MDPs). We prove new PAC bounds on the sample-complexity of two well-known model-based reinforcement learning (RL) algorithms in the presence of a generative model of the MDP: value iteration and policy iteration. The first result indicates that for an MDP with $N$ state-action pairs and the discount factor γin[0, 1) only $O(N log(N/δ)/ [(1 - γ)3 \epsilon^2])$ state-transition samples are required to find an $\epsilon$-optimal estimation of the action-value function with the probability (w.p.) 1-δ. Further, we prove that, for small values of $\epsilon$, an order of $O(N log(N/δ)/ [(1 - γ)3 \epsilon^2])$ samples is required to find an $\epsilon$ -optimal policy w.p. 1-δ. We also prove a matching lower bound of $\Omega(N log(N/δ)/ [(1 - γ)3\epsilon2])$ on the sample complexity of estimating the optimal action-value function. To the best of our knowledge, this is the first minimax result on the sample complexity of RL: The upper bound matches the lower bound interms of $N$ , $\epsilon$, δ and 1/(1 -γ) up to a constant factor. Also, both our lower bound and upper bound improve on the state-of-the-art in terms of their dependence on 1/(1-γ)

The Sample-Complexity of General Reinforcement Learning

We present a new algorithm for general reinforcement learning where the true environment is known to belong to a finite class of N arbitrary models. The algorithm is shown to be near-optimal for all but O(N log^2 N) time-steps with high probability. Infinite classes are also considered where we show that compactness is a key criterion for determining the existence of uniform sample-complexity bounds. A matching lower bound is given for the finite case.Comment: 16 page