Online learning in MDPs with side information
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We study online learning of finite Markov decision process (MDP) problems when a side information vector is available. The problem is motivated by applications such as clinical trials, recommendation systems, etc. Such applications have an episodic structure, where each episode corresponds to a patient/customer. Our objective is to compete with the optimal dynamic policy that can take side information into account. We propose a computationally efficient algorithm and show that its regret is at most O(√(T)), where T is the number of rounds. To best of our knowledge, this is the first regret bound for this setting.
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