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Adaptive MDP visits admit fixed sample tapes
Statement
Assume the Axiom of Choice for the path-space construction. Fix a finite-horizon interaction of length in a finite MDP with bounded rewards and any nonanticipating policy: each action distribution is a measurable function of the revealed history, and policy randomization is independent of unexposed MDP samples. On an enlarged probability space with the same law for the observed interaction, for each admissible pair there is a sequence of independent samples with common law such that the th observed next-state/reward pair at is whenever that visit occurs.
Statement references
Axiom of Choice: assumed for the path-space construction.
UCRL2 adaptive-count setting: §4.1; the fixed-tape representation is established locally from the kernel construction.
Facts & Assumptions
Given: The conditional law and nonanticipating-policy conventions in the Statement.
Finite MDP with bounded real rewards: after a state-action pair is selected, the next-state/reward observation has the fixed law conditional on the preceding history.
Ionescu-Tulcea construction of a Markov chain: a specified initial probability law and sequential probability kernels have a unique joint path law under the stated Choice assumption; finite constructions follow by singleton padding.
The Axiom of Choice: AC is inherited from [F2] for the path-law construction; no arbitrary choice of an infinite family is made.
Proof
If , take the original initial-state law and an empty tape for each pair: there are no observations to match and the independence assertions are vacuous. Hence assume . Fix finite enumerations of the admissible state-action pairs and the integers , and let be the number of tape coordinates. Take the first coordinate's prescribed law as the initial probability measure, use the remaining prescribed laws as constant kernels, and append singleton spaces with point-mass kernels afterward. Apply [F2] to this infinite kernel sequence. Its first coordinates have the product law: each coordinate has its prescribed law and, conditional on all preceding coordinates, its law remains that same . AC is used only as declared in [A1].
For , extend the tape law using [F2]: first append the original initial-state distribution as a constant kernel independent of the tapes, and then append the policy action kernels evaluated only at the revealed history. Simulate each action from its policy kernel using only the revealed history and its independent internal randomization, then reveal the next unused coordinate in the selected pair's tape. Since the action step does not expose any unused tape coordinate, the selected coordinate remains unrevealed and has conditional law by step 1.1. Thus the conditional observation law at every time is the MDP kernel in [F1]. Induction over the finite horizon shows that every observed trajectory has the same probability law as in the original interaction, and each pair's observations are its tape prefix.
Depends on
Used by
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Sources
- Thomas Jaksch, Ronald Ortner, and Peter Auer, Near-optimal Regret Bounds for Reinforcement Learning (standard reference, not scraped)