Is Temporal Difference Learning Optimal? An Instance-Dependent Analysis
Koulik Khamaru, Ashwin Pananjady, Feng Ruan, Martin J. Wainwright, Michael I. Jordan · SIAM Journal on Mathematics of Data Science · 2021
We address the problem of policy evaluation in discounted, tabular Markov decision processes and provide instance-dependent guarantees on the $\ell_\infty$-error under a generative model. We establish both asymptotic and nonasymptotic versions of local minimax lower bounds for policy evaluation, thereby providing an instance-dependent baseline by which to compare algorithms. Theory-inspired simulations show that the widely used temporal difference (TD) algorithm is strictly suboptimal when evaluated in a nonasymptotic setting, even when combined with Polyak--Ruppert iterate averaging. We remedy this issue by introducing and analyzing variance-reduced forms of stochastic approximation, showing that they achieve nonasymptotic, instance-dependent optimality up to logarithmic factors.