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Learning Adversarial MDPs with Stochastic Hard Constraints

We study online learning problems in constrained Markov decision processes (CMDPs) with adversarial losses and stochastic hard constraints. We consider two different scenarios. In the first one, we address general CMDPs, where we design an algorithm that attains sublinear regret and cumulative positive constraints violation. In the second scenario, under the mild assumption that a policy strictly satisfying the constraints exists and is known to the learner, we design an algorithm that achieves sublinear regret while ensuring that the constraints are satisfied at every episode with high probability. To the best of our knowledge, our work is the first to study CMDPs involving both adversarial losses and hard constraints. Indeed, previous works either focus on much weaker soft constraints--allowing for positive violation to cancel out negative ones--or are restricted to stochastic losses. Thus, our algorithms can deal with general non-stationary environments subject to requirements much stricter than those manageable with state-of-the-art algorithms. This enables their adoption in a much wider range of real-world applications, ranging from autonomous driving to online advertising and recommender systems.

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