Title: Q-learning with UCB Exploration is Sample Efficient for Infinite-Horizon MDP,
Abstract: A fundamental question in reinforcement learning is whether model-free
algorithms are sample efficient. Recently, Jin et al. \cite{jin2018q} proposed
a Q-learning algorithm with UCB exploration policy, and proved it has nearly
optimal regret bound for finite-horizon episodic MDP. In this paper, we adapt
Q-learning with UCB-exploration bonus to infinite-horizon MDP with discounted
rewards \emph{without} accessing a generative model. We show that the
\textit{sample complexity of exploration} of our algorithm is bounded by
$\tilde{O}({\frac{SA}{\epsilon^2(1-\gamma)^7}})$. This improves the previously
best known result of $\tilde{O}({\frac{SA}{\epsilon^4(1-\gamma)^8}})$ in this
setting achieved by delayed Q-learning \cite{strehl2006pac}, and matches the
lower bound in terms of $\epsilon$ as well as $S$ and $A$ except for
logarithmic factors.