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Model-Free Algorithm and Regret Analysis for MDPs with Long-Term Constraints

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arxiv 2006.05961 v2 pith:M4JBL7KL submitted 2020-06-10 cs.LG cs.NIcs.SYeess.SYmath.OCstat.ML

classification cs.LGcs.NIcs.SYeess.SYmath.OCstat.ML
keywords constraintslong-termregretalgorithmaveragegammaanalysisbound
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abstract

In the optimization of dynamical systems, the variables typically have constraints. Such problems can be modeled as a constrained Markov Decision Process (CMDP). This paper considers a model-free approach to the problem, where the transition probabilities are not known. In the presence of long-term (or average) constraints, the agent has to choose a policy that maximizes the long-term average reward as well as satisfy the average constraints in each episode. The key challenge with the long-term constraints is that the optimal policy is not deterministic in general, and thus standard Q-learning approaches cannot be directly used. This paper uses concepts from constrained optimization and Q-learning to propose an algorithm for CMDP with long-term constraints. For any $\gamma\in(0,\frac{1}{2})$, the proposed algorithm is shown to achieve $O(T^{1/2+\gamma})$ regret bound for the obtained reward and $O(T^{1-\gamma/2})$ regret bound for the constraint violation, where $T$ is the total number of steps. We note that these are the first results on regret analysis for MDP with long-term constraints, where the transition probabilities are not known apriori.

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  1. Decoupling Corruption and Horizon in Robust Contextual Pricing

    cs.GT 2026-07 accept novelty 7.0 of 10

    Robust contextual pricing admits regret O(Cd + d² log T), the first bound that additively separates corruption budget C from horizon T.

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