Abstract: We consider a regret minimization task under the average-reward criterion in an unknown Factored Markov Decision Process (FMDP). More specifically, we consider an FMDP where the state-action space \mathcal X and the state-space \mathcal S admit the respective factored forms of \mathcal X = \otimes_{i=1}^n \mathcal X_i and \mathcal S=\otimes_{i=1}^m \mathcal S_i, and the transition and reward functions are factored over \mathcal X and \mathcal S. Assuming a known a factorization structure, we introduce a novel regret minimization strategy inspired by the popular UCRL strategy, called DBN-UCRL, which relies on Bernstein-type confidence sets defined for individual elements of the transition function. We show that for a generic factorization structure, DBN-UCRL achieves a regret bound, whose leading term strictly improves over existing regret bounds in terms of the dependencies on the size of \cS_i’s and the diameter. We further show that when the factorization structure corresponds to the Cartesian product of some base MDPs, the regret of DBN-UCRL is upper bounded by the sum of regret of the base MDPs. We demonstrate, through numerical experiments on standard environments, that DBN-UCRL enjoys a substantially improved regret empirically over existing algorithms that have frequentist regret guarantees.