An empirical evaluation of interval estimation for Markov decision processes

This work takes an empirical approach to evaluating three model-based reinforcement-learning methods. All methods intend to speed the learning process by mixing exploitation of learned knowledge with exploration of possibly promising alternatives. We consider ε-greedy exploration, which is computationally cheap and popular, but unfocused in its exploration effort; R-Max exploration, a simplification of an exploration scheme that comes with a theoretical guarantee of efficiency; and a well-grounded approach, model-based interval estimation, that better integrates exploration and exploitation. Our experiments indicate that effective exploration can result in dramatic improvements in the observed rate of learning.