A Finite Time Analysis of Temporal Difference Learning with Linear Function Approximation
Jalaj Bhandari, Daniel Russo, Raghav Singal
Operations Research · 2021 · Volume 69 · Issue 3
Abstract
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 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. Final sections of the paper show how all of our main results extend to the study of TD learning with eligibility traces, known as TD( λ λ ), and to Q-learning applied in high-dimensional optimal stopping problems.
Keywords
dynamic programming/optimal control, decision analysis: sequential, Machine Learning and Data Science, reinforcement learning, temporal difference learning, finite time analysis, stochastic gradient descent
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