Constrained episodic reinforcement learning in concave-convex and knapsack settings

Part of Advances in Neural Information Processing Systems 33 pre-proceedings (NeurIPS 2020)

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Authors

Kianté Brantley, Miro Dudik, Thodoris Lykouris, Sobhan Miryoosefi, Max Simchowitz, Aleksandrs Slivkins, Wen Sun

Abstract

<p>We propose an algorithm for tabular episodic reinforcement learning with constraints. We provide a modular analysis with strong theoretical guarantees for settings with concave rewards and convex constraints, and for settings with hard constraints (knapsacks). Most of the previous work in constrained reinforcement learning is limited to linear constraints, and the remaining work focuses on either the feasibility question or settings with a single episode. Our experiments demonstrate that the proposed algorithm significantly outperforms these approaches in existing constrained episodic environments.</p>