To cite this version:Andras Antos, Csaba Szepesvari, Rémi Munos. Learning near-optimal policies with Bellman-residual minimization based fitted policy iteration and a single sample path. Machine Learning Journal, Springer, 2008, pp.71:89-129.
Suppose P is an arbitrary discrete distribution on a countable alphabet .Given an i.i.d. sample X 1 X n drawn from P, we consider the problem of estimating the entropy H P or some other functional F = F P of the unknown distribution P. We show that, for additive functionals satisfying mild conditions (including the cases of the mean, the entropy, and mutual information), the plug-in estimates of F are universally consistent. We also prove that, without further assumptions, no rate-of-convergence results can be obtained for any sequence of estimators. In the case of entropy estimation, under a variety of different assumptions, we get rate-of-convergence results for the plug-in estimate and for a nonparametric estimator based on match-lengths. The behavior of the variance and the expected error of the plug-in estimate is shown to be in sharp contrast to the finite-alphabet case. A number of other important examples of functionals are also treated in some detail.
International audienceWe consider online learning in finite stochastic Markovian environments where in each time step a new reward function is chosen by an oblivious adversary. The goal of the learning agent is to compete with the best stationary policy in hindsight in terms of the total reward received. Specifically, in each time step the agent observes the current state and the reward associated with the last transition, however, the agent does not observe the rewards associated with other state-action pairs. The agent is assumed to know the transition probabilities. The state of the art result for this setting is an algorithm with an expected regret of O(T^2/3 ln T). In this paper, assuming that stationary policies mix uniformly fast, we show that after T time steps, the expected regret of this algorithm (more precisely, a slightly modified version thereof) is O(T^1/2 ln T), giving the first rigorously proven, essentially tight regret bound for the problem
To cite this version:Andras Antos, Csaba Szepesvari, Rémi Munos. Learning near-optimal policies with Bellman-residual minimization based fitted policy iteration and a single sample path. Machine Learning Journal, Springer, 2008, pp.71:89-129.
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