Improved Algorithms for Misspecified Linear Markov Decision Processes

For the misspecified linear Markov decision process (MLMDP) model of Jin et al. (2020), we propose an algorithm with three desirable properties. (P1) Its regret after K episodes scales as K max{ε_mis, ε_tol}, where ε_mis is the degree of misspecification and ε_tol is a user-specified error tolerance. (P2) Its space and per-episode time complexities are bounded as K → ∞. (P3) It does not require ε_mis as input. To our knowledge, this is the first algorithm satisfying all three properties. For concrete choices of ε_tol, we also improve existing regret bounds (up to log factors) while achieving either (P2) or (P3) (existing algorithms satisfy neither). At a high level, our algorithm generalizes (to MLMDPs) and refines the Sup-Lin-UCB algorithm, which Takemura et al. (2021) recently showed satisfies (P3) for contextual bandits. We also provide an intuitive interpretation of their result, which informs the design of our algorithm.