Finite Sample Analysis of Two-Timescale Stochastic Approximation with Applications to Reinforcement Learning
Abstract
Two-timescale Stochastic Approximation (SA) algorithms are widely used in Reinforcement Learning (RL). Their iterates have two parts that are updated using distinct stepsizes. In this work, we develop a novel recipe for their finite sample analysis. Using this, we provide a concentration bound, which is the first such result for a two-timescale SA. The type of bound we obtain is known as `lock-in probability'. We also introduce a new projection scheme, in which the time between successive projections increases exponentially. This scheme allows one to elegantly transform a lock-in probability into a convergence rate result for projected two-timescale SA. From this latter result, we then extract key insights on stepsize selection. As an application, we finally obtain convergence rates for the projected two-timescale RL algorithms GTD(0), GTD2, and TDC.
Cite
@article{arxiv.1703.05376,
title = {Finite Sample Analysis of Two-Timescale Stochastic Approximation with Applications to Reinforcement Learning},
author = {Gal Dalal and Balazs Szorenyi and Gugan Thoppe and Shie Mannor},
journal= {arXiv preprint arXiv:1703.05376},
year = {2018}
}