Adaptive Resolving Methods for Markov Decision Processes with Function Approximations

Abstract:Learning the optimal policy for Markov decision process problems (MDPs) from samples is a fundamental problem in online and data-driven decision-making. Function approximations are usually deployed to handle large or infinite state-action space. In our work, we consider the MDP problems with function approximation and we develop a new algorithm to solve it efficiently. Our algorithm is based on a linear programming (LP) reformulation and repeatedly resolves the identified reduced linear system as new transition samples arrive. After the optimal basis is identified, we show that, after $N$ resolving rounds, the expected averaged iterate achieves an instance-dependent $\widetilde O(C_{\mathrm{inst}}/N)$ objective shortfall and signed constraint residual. We separately account for the historical samples used for basis identification and the $d_2$ transition queries used in each resolving round, which yields the corresponding total transition-query complexity. We further complement our result with a \textit{robust} $O(1/\sqrt{N})$ bound that is independent of $\Delta$. In comparison to the guarantees established in the previous literature, our instance dependent guarantee is tighter when the underlying instance is favorable, and the numerical experiments also reveal the wide applications and efficient empirical performances of our algorithms.

Machine Learning (cs.LG)

arXiv:2505.12037 [cs.LG]

(or arXiv:2505.12037v2 [cs.LG] for this version)

https://doi.org/10.48550/arXiv.2505.12037 Focus to learn more arXiv-issued DOI via DataCite

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