Reinforcement Learning for Markovian Bandits: Is Posterior Sampling more Scalable than Optimism?

We study learning algorithms for the classical Markovian bandit problem with discount. We explain how to adapt PSRL [24] and UCRL2 [2] to exploit the problem structure. These variants are called MB-PSRL and MB-UCRL2. While the regret bound and runtime of vanilla implementations of PSRL and UCRL2 are exponential in the number of bandits, we show that the episodic regret of MB-PSRL and MB-UCRL2 isÕ(S √ nK) where K is the number of episodes, n is the number of bandits and S is the number of states of each bandit (the exact bound in S, n and K is given in the paper). Up to a factor √ S, this matches the lower bound of Ω(√ SnK) that we also derive in the paper. MB-PSRL is also computationally efficient: its runtime is linear in the number of bandits. We further show that this linear runtime cannot be achieved by adapting classical non-Bayesian algorithms such as UCRL2 or UCBVI to Markovian bandit problems. Finally, we perform numerical experiments that confirm that MB-PSRL outperforms other existing algorithms in practice, both in terms of regret and of computation time