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Sublinear regret for learning POMDPs

Author

Listed:
  • Yi Xiong
  • Ningyuan Chen
  • Xuefeng Gao
  • Xiang Zhou

Abstract

We study the model‐based undiscounted reinforcement learning for partially observable Markov decision processes (POMDPs). The oracle we consider is the optimal policy of the POMDP with a known environment in terms of the average reward over an infinite horizon. We propose a learning algorithm for this problem, building on spectral method‐of‐moments estimations for hidden Markov models, the belief error control in POMDPs and upper confidence bound methods for online learning. We establish a regret bound of O(T2/3logT)$O(T^{2/3}\sqrt {\log T})$ for the proposed learning algorithm where T is the learning horizon. This is, to the best of our knowledge, the first algorithm achieving sublinear regret with respect to our oracle for learning general POMDPs.

Suggested Citation

  • Yi Xiong & Ningyuan Chen & Xuefeng Gao & Xiang Zhou, 2022. "Sublinear regret for learning POMDPs," Production and Operations Management, Production and Operations Management Society, vol. 31(9), pages 3491-3504, September.
  • Handle: RePEc:bla:popmgt:v:31:y:2022:i:9:p:3491-3504
    DOI: 10.1111/poms.13778
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    References listed on IDEAS

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