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Tackling Heavy-Tailed Rewards in Reinforcement Learning with Function Approximation: Minimax Optimal and Instance-Dependent Regret Bounds

NeurIPS 2023 · Bandits and online learning › RL theory and MDPs · approach: Regret bounds with function approximation · 0 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Use Heavy-OFUL with adaptive Huber regression for heavy-tailed rewardsLinear bandits · Heavy-tailed linear banditsregret: \tilde{O}\big(d T^{\frac{1-\epsilon}{2(1+\epsilon)}} \sqrt{\sum_{t=1}^T \nu_t^2} + d T^{\frac{1-\epsilon}{2(1+\epsilon)}Helped
Use Heavy-LSVI-UCB with adaptive Huber reward estimation and weighted ridge transition estimationLinear MDPs · Heavy-tailed linear MDPsregret: \tilde{O}(d \sqrt{H\mathcal{U}^*} K^{\frac{1}{1+\epsilon}} + d \sqrt{H\mathcal{V}^*K})Helped
Use Heavy-LSVI-UCB rather than the prior first-order boundLinear MDPs · Linear MDPs with uniformly bounded rewardsfirst-order regret: by a factor of \sqrt{H}Helped
Apply Heavy-LSVI-UCB in the worst caseLinear MDPs · Heavy-tailed linear MDPsregret: \tilde{O}(dHK^\frac{1}{1+\epsilon} + d \sqrt{H^3 K}); lower bound: \Omega(d H K^{\frac{1}{1+\epsilon}} + d \sqrt{H^3 K})Helped
Use the proposed central-moment-dependent regret analysis with finite variance (ε=1)Heavy-LSVI-UCB · Linear MDPs with finite-variance rewardsregret: \tilde{O}(d\sqrt{H\cG^*K})Helped
Use the proposed first-order regret bound instead of the existing first-order resultHeavy-LSVI-UCB · Linear MDPsfirst-order regret: \tilde{O}(d\sqrt{H^2 V_1^* K}) versus \tilde{O}(d\sqrt{H^3 V_1^* K})Helped
Use truncation-based methods that depend on raw moments rather than central momentsHeavy-tailed bandit and RL algorithms · Deterministic instancesregretHurt
Use adaptive Huber regression with the proposed robust self-normalized concentration boundOnline regression with heavy-tailed noise · Heavy-tailed online regressionestimation error: \beta_t = 3 \sqrt{\lambda}B + 24 t^{\frac{1-\epsilon}{2(1+\epsilon)}} \sqrt{2\kappa} b (\log 3T)^{\frac{1-\epsilon}{2(1+Helped
Replace the ideal reward residual with an estimated residual when estimating reward central momentsHeavy-LSVI-UCB · Linear MDPsestimation error: \|\hat{\bpsi}_{k,h}-\bpsi_{k,h}\|_{\bH_{k,h}} \le 6 \kappa \max_{s\le t}\hat{\beta}_sHurt

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