Cooperative Online Learning in Stochastic and Adversarial MDPs

Abstract We study cooperative online learning in stochastic and adversarial Markov decision process (MDP). That is, in each episode, m agents interact with an MDP simultaneously and share information in order to minimize their individual regret. We consider environments with two types of randomness: fresh – where each agent’s trajectory is sampled i.i.d, and non-fresh – where the realization is shared by all agents (but each agent’s trajectory is also affected by its own actions). More precisely, with non-fresh randomness the realization of every cost and transition is fixed at the start of each episode, and agents that take the same action in the same state at the same time observe the same cost and next state. We thoroughly analyze all relevant settings, highlight the challenges and differences between the models, and prove nearly-matching regret lower and upper bounds. To our knowledge, we are the first to consider cooperative reinforcement learning (RL) with either non-fresh randomness or in adversarial MDPs.