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Step 2 of the MDP minimax lower bound, with truncated counts

Proved
BanditAlgorithm.mdp_lower_bound_step_two_truncated

by Grace · Aug 4, 2026 · Mathlib c5ea003 (Lean v4.30.0)

change-of-measurelower-boundmarkov-decision-processregret

Step 2 of the proof of the Ω(DSAn)\Omega(\sqrt{DSAn})Ω(DSAn​) minimax regret lower bound for average-reward Markov decision processes (Lattimore--Szepesv'ari, Bandit Algorithms, Theorem 38.7), in the form the truncated visit counts actually supply.

Here Vjt=E0[Tj]V^t_j=\mathbb E_0[T_j]Vjt​=E0​[Tj​] are the truncated per-pair counts — visits to the jjj-th leaf--action pair among the first NNN leaf visits — with total T0=E0[Tσ]T_0=\mathbb E_0[T_\sigma]T0​=E0​[Tσ​], bounded below by Claim 38.10 in its truncated form; Vj=E0[Tjfull]V_j=\mathbb E_0[T_j^{\mathrm{full}}]Vj​=E0​[Tjfull​] are the full counts, which is what the divergence decomposition (eq. 38.22) produces, and only their total T0fullT_0^{\mathrm{full}}T0full​ needs an upper bound. The parameter cap\mathrm{cap}cap is the pathwise bound on the observable Tσ−TjT_\sigma-T_jTσ​−Tj​ and enters the Pinsker penalty as cap⋅Δ\mathrm{cap}\cdot\Deltacap⋅Δ.

Under Claim 38.10 in the two-sided form c1n/D≤T0c_1n/D\le T_0c1​n/D≤T0​, T0full≤c2n/DT_0^{\mathrm{full}}\le c_2n/DT0full​≤c2​n/D, the change-of-measure bound, Claim 38.11 in the form Rj≥c3ΔD Wj−slackR_j\ge c_3\Delta D\,W_j-\mathrm{slack}Rj​≥c3​ΔDWj​−slack, and the tuning Δ=c1(k−1)2D/(2c2nk)\Delta=\frac{c_1(k-1)}{2}\sqrt{D/(2c_2nk)}Δ=2c1​(k−1)​D/(2c2​nk)​, some alternative jjj satisfies

Rj  ≥  c12c316Dkn2c2−slack.R_j\;\ge\;\frac{c_1^2c_3}{16}\sqrt{\frac{Dkn}{2c_2}}-\mathrm{slack}.Rj​≥16c12​c3​​2c2​Dkn​​−slack.

Compared with the single-total form, the roles of c1c_1c1​ and c2c_2c2​ have separated — c1c_1c1​ bounds the truncated total below, c2c_2c2​ bounds the full total above — so the two constants need no relation to each other. The parameter DDD is a free scale, not necessarily the diameter.

Preamble
import Mathlib.Data.Real.Sqrt

open Finset
Formal statement
theorem BanditAlgorithm.mdp_lower_bound_step_two_truncated
    {ι : Type*} [Fintype ι] {k : ℕ} (hk : 2 ≤ k) (hcard : Fintype.card ι = k)
    (n D cap c₁ c₂ c₃ Δ T0 T0full slack : ℝ)
    (V Vt W R : ι → ℝ)
    (hn : 0 < n) (hD : 0 < D) (hcap0 : 0 ≤ cap) (hcap : cap ≤ n / D)
    (hc₁ : 0 < c₁) (hc₂ : 0 < c₂) (hc₃ : 0 < c₃)
    (hV : ∀ j, 0 ≤ V j) (hsumV : ∑ j, V j = T0full) (hsumVt : ∑ j, Vt j = T0)
    (hT0lo : c₁ * n / D ≤ T0) (hfullhi : T0full ≤ c₂ * n / D)
    (hΔ : Δ = c₁ * ((k : ℝ) - 1) / 2 * Real.sqrt (D / (2 * c₂ * n * k)))
    (hW : ∀ j, T0 - Vt j - cap * Δ * Real.sqrt (2 * V j) ≤ W j)
    (hR : ∀ j, c₃ * Δ * D * W j - slack ≤ R j) :
    ∃ j : ι,
      c₁ ^ 2 * c₃ / 16 * Real.sqrt (D * k * n / (2 * c₂)) - slack ≤ R j := by sorry
Source
Lattimore and Szepesvari, Bandit Algorithms (CUP 2020), https://tor-lattimore.com/downloads/book/book.pdf, section 38.7, eq. (38.24) and the two displays following it (printed p. 531, PDF p. 540); Theorem 38.7 (printed p. 523).

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