Abstract-The framework of cognitive wireless radio is expected to endow the wireless devices with the cognitionintelligence ability, with which they can efficiently learn and respond to the dynamic wireless environment. In many practical scenarios, the complexity of network dynamics makes it difficult to determine the network evolution model in advance. As a result, the wireless decision-making entities may face a black-box network control problem and the model-based network management mechanisms will be no longer applicable. In contrast, model-free learning has been considered as an efficient tool for designing control mechanisms when the model of the system environment or the interaction between the decision-making entities is not available as a-priori knowledge. With model-free learning, the decision-making entities adapt their behaviors based on the reinforcement from their interaction with the environment and are able to (implicitly) build the understanding of the system through trial-and-error mechanisms. Such characteristics of model-free learning is highly in accordance with the requirement of cognition-based intelligence for devices in cognitive wireless networks. Recently, model-free learning has been considered as one key implementation approach to adaptive, self-organized network control in cognitive wireless networks. In this paper, we provide a comprehensive survey on the applications of the stateof-the-art model-free learning mechanisms in cognitive wireless networks. According to the system models that those applications are based on, a systematic overview of the learning algorithms in the domains of single-agent system, multi-agent systems and multi-player games is provided. Furthermore, the applications of model-free learning to various problems in cognitive wireless networks are discussed with the focus on how the learning mechanisms help to provide the solutions to these problems and improve the network performance over the existing model-based, non-adaptive methods. Finally, a broad spectrum of challenges and open issues is discussed to offer a guideline for the future research directions.