A Finite Time Analysis of Temporal Difference Learning With Linear Function Approximation


Jalaj Bhandari, Daniel Russo, Raghav Singal ;
Proceedings of the 31st Conference On Learning Theory, PMLR 75:1691-1692, 2018.


Temporal difference learning (TD) is a simple iterative algorithm used to estimate the value function corresponding to a given policy in a Markov decision process. Although TD is one of the most widely used algorithms in reinforcement learning, its theoretical analysis has proved challenging and few guarantees on its statistical efficiency are available. In this work, we provide a \emph{simple and explicit finite time analysis} of temporal difference learning with linear function approximation. Except for a few key insights, our analysis mirrors standard techniques for analyzing stochastic gradient descent algorithms, and therefore inherits the simplicity and elegance of that literature. A final section of the paper shows that all of our main results extend to the study of a variant of Q-learning applied to optimal stopping problems.

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