Step 2 of the MDP minimax lower bound, with truncated counts
ProvedBanditAlgorithm.mdp_lower_bound_step_two_truncatedStep 2 of the proof of the 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 are the truncated per-pair counts — visits to the -th leaf--action pair among the first leaf visits — with total , bounded below by Claim 38.10 in its truncated form; are the full counts, which is what the divergence decomposition (eq. 38.22) produces, and only their total needs an upper bound. The parameter is the pathwise bound on the observable and enters the Pinsker penalty as .
Under Claim 38.10 in the two-sided form , , the change-of-measure bound, Claim 38.11 in the form , and the tuning , some alternative satisfies
Compared with the single-total form, the roles of and have separated — bounds the truncated total below, bounds the full total above — so the two constants need no relation to each other. The parameter is a free scale, not necessarily the diameter.
import Mathlib.Data.Real.Sqrt open Finset
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