Many popular reinforcement learning problems (e.g., navigation in a maze, some Atari games, mountain car) are instances of the so-called episodic setting or stochastic shortest path (SSP) problem, where an agent has to achieve a predefined goal state (e.g., the top of the hill) while maximizing the cumulative reward or minimizing the cumulative cost. Despite its popularity, most of the literature studying the exploration-exploitation dilemma either focused on different problems (i.e., fixed-horizon and infinite-horizon) or made the restrictive loop-free assumption (which implies that no same state can be visited twice during any episode). In this paper, we study the general SSP setting and introduce the algorithm UC-SSP whose regret scales as $\displaystyle \widetilde{O}(c_{\max}^{3/2} c_{\min}^{-1/2} D S \sqrt{ A D K})$ after $K$ episodes for any unknown SSP with $S$ non-terminal states, $A$ actions, an SSP-diameter of $D$ and positive costs in $[c_{\min}, c_{\max}]$. UC-SSP is thus the first learning algorithm with vanishing regret in the theoretically challenging setting of episodic RL.
Speakers: Jean Tarbouriech, Evrard Garcelon, Michal Valko, Matteo Pirotta, Alessandro Lazaric