We contribute an approach for interactive policy learning through expert demonstration that allows an agent to actively request and effectively represent demonstration examples. In order to address the inherent uncertainty of human demonstration, we represent the policy as a set of Gaussian mixture models (GMMs), where each model, with multiple Gaussian components, corresponds to a single action. Incrementally received demonstration examples are used as training data for the GMM set. We then introduce our confident execution approach, which focuses learning on relevant parts of the domain by enabling the agent to identify the need for and request demonstrations for specific parts of the state space. The agent selects between demonstration and autonomous execution based on statistical analysis of the uncertainty of the learned Gaussian mixture set. As it achieves proficiency at its task and gains confidence in its actions, the agent operates with increasing autonomy, eliminating the need for unnecessary demonstrations of already acquired behavior, and reducing both the training time and the demonstration workload of the expert. We validate our approach with experiments in simulated and real robot domains.