@inproceedings{
samsonov2024gaussian,
title={Gaussian Approximation and Multiplier Bootstrap for Polyak-Ruppert Averaged Linear Stochastic Approximation with Applications to {TD} Learning},
author={Sergey Samsonov and Eric Moulines and Qi-Man Shao and Zhuo-Song Zhang and Alexey Naumov},
booktitle={The Thirty-eighth Annual Conference on Neural Information Processing Systems},
year={2024},
url={https://openreview.net/forum?id=S0Ci1AsJL5}
}
In this paper, we obtain the Berry–Esseen bound for multivariate normal approximation for the Polyak-Ruppert averaged iterates of the linear stochastic approximation (LSA) algorithm with decreasing step size. Moreover, we prove the non-asymptotic validity of the confidence intervals for parameter estimation with LSA based on multiplier bootstrap. This procedure updates the LSA estimate together with a set of randomly perturbed LSA estimates upon the arrival of subsequent observations. We illustrate our findings in the setting of temporal difference learning with linear function approximation.
Gaussian Approximation and Multiplier Bootstrap for Polyak-Ruppert Averaged Linear Stochastic Approximation with Applications to TD Learning
Sergey Samsonov Eric Moulines Qi-Man Shao Zhuo-Song Zhang Alexey Naumov