Drifting Reinforcement Learning: The Blessing of (More) Optimism in Face of Endogenous & Exogenous Dynamics

We consider un-discounted reinforcement learning (RL) in Markov decision processes (MDPs) under temporal drifts, ie, both the reward and state transition distributions are allowed to evolve over time, as long as their respective total variations, quantified by suitable metrics, do not exceed certain variation budgets. This setting captures the endogenous and exogenous dynamics, uncertainty, and partial feedback in sequential decision-making scenarios, and finds applications in vehicle remarketing and real-time bidding. We first develop the Sliding Window Upper-Confidence bound for Reinforcement Learning with Confidence Widening (SWUCRL2-CW) algorithm, and establish its dynamic regret bound when the variation budgets are known. In addition, we propose the Bandit-over-Reinforcement Learning (BORL) algorithm to adaptively tune the SWUCRL2-CW algorithm to achieve the same dynamic regret bound, but in a parameter-free manner, ie, without knowing the variation budgets. Finally, we conduct numerical experiments to show that our proposed algorithms achieve superior empirical performance compared to existing algorithms. Notably, the interplay between endogenous and exogenous dynamics presents a unique challenge, absent in existing (stationary and non-stationary) stochastic online learning settings, when we apply the conventional Optimism in Face of Uncertainty principle to design algorithms with provably low dynamic regret for RL in drifting MDPs. We overcome the challenge by a novel confidence widening technique that incorporates additional optimism into our learning algorithms to ensure low dynamic regret bounds. To extend our theoretical findings, we apply our framework to inventory control problems, and demonstrate how one can alternatively leverage special structures on the state transition distributions to bypass the difficulty in exploring time-varying environments.