Robust Average-Reward Markov Decision Processes: Minimax-Optimal Learning via Plug-in Reductions
TL;DR
This work studies how many samples are necessary and sufficient to learn an $\varepsilon$-optimal robust policy under the average-reward criterion and achieves these rates using reduction-based plug-in procedures that select the reduction---nominal or robust---and its discount factor.
Abstract
Distributionally robust Markov decision processes provide a principled framework for sequential decision making under model uncertainty. We study how many samples are necessary and sufficient to learn an $\varepsilon$-optimal robust policy under the average-reward criterion. A generative model provides samples from the nominal transition kernel, whereas policy performance is evaluated over $(s,a)$-rectangular total-variation uncertainty sets of radius at most $\sigma$. Let $H_0$ and $H_\sigma$ denote the nominal and robust optimal bias spans, respectively. We identify $\sigma H_0$ as the perturbation scale separating high- and low-tolerance regimes. Our matching upper and lower bounds show that, up to logarithmic factors, the minimax total sample complexity is $$ NSA \asymp \frac{SA}{\varepsilon^2}\begin{cases} \min\{H_0,H_\sigma\},&\varepsilon\gtrsim\sigma H_0,\\ \min\{H_0,H_\sigma\}+\sigma H_\sigma^2,&\varepsilon\lesssim\sigma H_0. \end{cases} $$ Here $S$ and $A$ are the numbers of states and actions, and $N$ is the number of samples per state-action pair. The sample complexity consists of a linear-span term that resembles the nominal AMDP results and a robustness-specific term that appears only in the low-tolerance regime. We attain these rates using reduction-based plug-in procedures that select the reduction---nominal or robust---and its discount factor: a span-informed procedure that makes these choices using known span parameters, and a span-agnostic procedure that calibrates both choices from data.