TY - GEN
T1 - Experts in a markov decision process
AU - Even-Dar, Eyal
AU - Kakade, Sham M.
AU - Mansour, Yishay
PY - 2005
Y1 - 2005
N2 - We consider an MDP setting in which the reward function is allowed to change during each time step of play (possibly in an adversarial manner), yet the dynamics remain fixed. Similar to the experts setting, we address the question of how well can an agent do when compared to the reward achieved under the best stationary policy over time. We provide efficient algorithms, which have regret bounds with no dependence on the size of state space. Instead, these bounds depend only on a certain horizon time of the process and logarithmically on the number of actions. We also show that in the case that the dynamics change over time, the problem becomes computationally hard.
AB - We consider an MDP setting in which the reward function is allowed to change during each time step of play (possibly in an adversarial manner), yet the dynamics remain fixed. Similar to the experts setting, we address the question of how well can an agent do when compared to the reward achieved under the best stationary policy over time. We provide efficient algorithms, which have regret bounds with no dependence on the size of state space. Instead, these bounds depend only on a certain horizon time of the process and logarithmically on the number of actions. We also show that in the case that the dynamics change over time, the problem becomes computationally hard.
UR - http://www.scopus.com/inward/record.url?scp=84899000904&partnerID=8YFLogxK
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AN - SCOPUS:84899000904
SN - 0262195348
SN - 9780262195348
T3 - Advances in Neural Information Processing Systems
BT - Advances in Neural Information Processing Systems 17 - Proceedings of the 2004 Conference, NIPS 2004
PB - Neural information processing systems foundation
T2 - 18th Annual Conference on Neural Information Processing Systems, NIPS 2004
Y2 - 13 December 2004 through 16 December 2004
ER -