Active Learning of MDP Models

Abstract. We consider the active learning problem of inferring the transition model of a Markov Decision Process by acting and observ-ing transitions. This is particularly useful when no reward function is a priori defined. Our proposal is to cast the active learning task as a util-ity maximization problem using Bayesian reinforcement learning with belief-dependent rewards. After presenting three possible performance criteria, we derive from them the belief-dependent rewards to be used in the decision-making process. As computing the optimal Bayesian value function is intractable for large horizons, we use a simple algorithm to ap-proximately solve this optimization problem. Despite the sub-optimality of this technique, we show experimentally that our proposal is efficient in a number of domains.