An analysis of model-based Interval Estimation for Markov Decision Processes

  • Authors:
  • Alexander L. Strehl;Michael L. Littman

  • Affiliations:
  • Yahoo! Inc, 701 First Avenue, Sunnyvale, California 94089, USA;Computer Science Department, Rutgers University, 110 Frelinghuysen Road, Piscataway, NJ 08854, USA

  • Venue:
  • Journal of Computer and System Sciences
  • Year:
  • 2008

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Abstract

Several algorithms for learning near-optimal policies in Markov Decision Processes have been analyzed and proven efficient. Empirical results have suggested that Model-based Interval Estimation (MBIE) learns efficiently in practice, effectively balancing exploration and exploitation. This paper presents a theoretical analysis of MBIE and a new variation called MBIE-EB, proving their efficiency even under worst-case conditions. The paper also introduces a new performance metric, average loss, and relates it to its less ''online'' cousins from the literature.