Abstract
We present the first regret bound for classical online Q-learning in infinite-horizon discounted Markov decision processes (MDPs), without relying on optimism or bonus terms. We first analyze Boltzmann Q-learning with decaying temperature and show that its regret depends critically on the suboptimality gap of the MDP: for sufficiently large gaps, the regret is sublinear, while for small gaps it deteriorates and can approach linear growth. To address this limitation, we study a Smoothed -Greedy exploration scheme that combines -greedy and Boltzmann exploration, for which we prove a gap-robust regret bound of near-. We also obtain sample complexity guarantees, with both regret and sample complexity bounds holding with high probability. To analyze these algorithms, we develop a high-probability concentration bound for contractive Markovian stochastic approximation with iterate- and time-dependent transition dynamics. This bound may be of independent interest as the contraction factor in our framework is allowed to converge to one asymptotically.