Paper:
Context-Dependent Upper-Confidence Bounds for Directed Exploration
Directed exploration strategies for reinforcement learning are critical for learning an optimal policy in a minimal number of interactions with the environment. Many algorithms use optimism to direct exploration, either through visitation estimates or upper-confidence bounds, as opposed to data-inefficient strategies like ✏-greedy that use random, undirected exploration. Most data-efficient exploration methods require significant computation, typically relying on a learned model to guide exploration. Least-squares methods have the potential to provide some of the data-efficiency benefits of model-based approaches-because they summarize past interactions-with the computation closer to that of model-free approaches. In this work, we provide a novel, computationally efficient, incremental exploration strategy, leveraging this property of least-squares temporal difference learning (LSTD). We derive upper-confidence bounds on the action-values learned by LSTD, with context-dependent (or state-dependent) noise variance. Such contextdependent noise focuses exploration on a subset of variable states, and allows for reduced exploration in other states. We empirically demonstrate that our algorithm can converge more quickly than other incremental exploration strategies using confidence estimates on action-values.

Review:
Summary: In this paper, the authors have described how context dependent, i.e. state and action pair dependent, Upper Confidence Bounds can be calculated for the Least Squares Temporal Difference (LSTD) Learning algorithm. They argue that this is a principled way of exploring the interactions with the environment because is specially important for least square methods because other strategies are either inefficient (e-greedy) or cannot be used in a meaningful manner (optimistic initialization). The computation of the upper confidence part is interesting and deviates from the standard proofs for Multi-arm bandit cases because the samples in case of LSTD are not independent of each other. The authors address this issue by imposing a bound using the (weaker) Chebychev's inequality instead of the Bernstein's inequality. In their evaluation, they use a bound on the total compute rather than on the number of episodes. Though non-standard, the evaluation procedure did make sense for the claims they make that their algorithm is able to attain better performance with fewer steps wasted exploring. The authors have provided pseudo-code for all their baselines and, hopefully, would make the source code for their experiments available, making the paper reproducible.  Key Contributions:  - First principled method for using optimistic Upper Confidence Bound algorithms with LSTD.  - Interesting use of Chebychev's inequality to handle the non-IID setting and allowing updates in an online fashion for RL.  The paper is clearly written and is easy to follow. The problem is interesting and their algorithm fills in a gap in the space of algorithms we have in RL. The derivation is novel through relatively straight forward, though some clarifications which have been relegated to the appendix ought to appear in the main body (see below). The baselines that the authors have chosen to compare with are competitive and their description of the experimental setup is exhaustive. The future directions of work also looks promising, and may lead to significant advances in the future.  That said, there are a few minor issues with the work. The regret analysis of their approach is preliminary at best, though, as stated, the future directions look promising. Some heuristics in their algorithms (e.g. handling third issue discussed in appendix C) explicitly depend on the tile coding of the states/actions. It is unclear how easy it will be to design similar heuristics in case a non-linear embedding of the input state is used (e.g. using NNs). Authors mention this as a potential direction for future work, but a comment about the reliance of the implementation on this particular encoding of the state in the main-text is warranted.  However, the writing/presentation of the proof should be improved. For example, in line 165, the term "This estimation" is ambiguous. The equation after line 167 does not seem to follow from the equation presented above, but rather directly from the equation above line 165. Also, the last inequality above line 175 is true only with high probability, which is not clearly mentioned. The relationship of c√(a^2 + b^2) to the previous equation can also use more explanation. It is also important to state in the last paragraph of the section (instead of in the appendix) that since the estimates for noises are *not* available, the TD error will be used as the proxy. As this detail is somewhat of a departure from the multi-arm bandit setting, it would be useful for readers familiar with that domain.  Overall, I believe that the paper makes an interesting contribution and should be accepted for publication.  Minor issues:  - line 94: "direclty"  - line 129: "When" -> "we"  - line 203: "are constitute"  - line 205: "high-lighted" -> "highlighted"  - line 229: "it's" -> "its"  - "River Swim" task does not describe the termination condition/goal state in the description.  - line 280: "the the"  - lines 285 -- 287: the paragraph is out of place.  - line 289: "a sound upper bounds": unconventional use of the term 'sound'.  - Error bars are missing from several figures (notably, 3(c) and 5).  - Figure 3 caption: LSTD-CG-... are not defined. Also in Figure 5 caption, CG seems to be used without prior definition.  - Is it possible to also show somehow how quickly the confidence bounds for various states decrease and how it is related to the value of the state? It would be interesting to see actually how much exploration effort the algorithms wastes on low valued states.  ----  Update: Having read the authors' response, I would recommend that the explanations/changes they have proposed for (1),(2) in the minor changes section ought to be included in the main paper. Overall, my opinion about the paper remains unchanged.