Online Model Selection for Reinforcement Learning with Function Approximation.

Deep reinforcement learning has achieved impressive successes yet often requires a very large amount of interaction data. This result is perhaps unsurprising, as using complicated function approximation often requires more data to fit, and early theoretical results on linear Markov decision processes provide regret bounds that scale with the dimension of the linear approximation. Ideally, we would like to automatically identify the minimal dimension of the approximation that is sufficient to encode an optimal policy. Towards this end, we consider the problem of model selection in RL with function approximation, given a set of candidate RL algorithms with known regret guarantees. The learner's goal is to adapt to the complexity of the optimal algorithm without knowing it \textit{a priori}. We present a meta-algorithm that successively rejects increasingly complex models using a simple statistical test. Given at least one candidate that satisfies realizability, we prove the meta-algorithm adapts to the optimal complexity with $\tilde{O}(L^{5/6} T^{2/3})$ regret compared to the optimal candidate's $\tilde{O}(\sqrt T)$ regret, where $T$ is the number of episodes and $L$ is the number of algorithms. The dimension and horizon dependencies remain optimal with respect to the best candidate, and our meta-algorithmic approach is flexible to incorporate multiple candidate algorithms and models. Finally, we show that the meta-algorithm automatically admits significantly improved instance-dependent regret bounds that depend on the gaps between the maximal values attainable by the candidates.