A Sliding-Window Algorithm for Markov Decision Processes with Arbitrarily Changing Rewards and Transitions

05/25/2018

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by   Pratik Gajane, et al.

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We consider reinforcement learning in changing Markov Decision Processes where both the state-transition probabilities and the reward functions may vary over time. For this problem setting, we propose an algorithm using a sliding window approach and provide performance guarantees for the regret evaluated against the optimal non-stationary policy. We also characterize the optimal window size suitable for our algorithm. These results are complemented by a sample complexity bound on the number of sub-optimal steps taken by the algorithm. Finally, we present some experimental results to support our theoretical analysis.