Tight Finite Time Bounds of Two-Time-Scale Linear Stochastic Approximation with Markovian Noise

Stochastic approximation (SA) is an iterative algorithm to find the fixed point of an operator given noisy samples of this operator. SA appears in many areas such as optimization and Reinforcement Learning (RL). When implemented in practice, the noise that appears in the update of RL algorithms is naturally Markovian.... Show more