Paper

We study stochastic approximation procedures for approximately solving a $d$-dimensional linear fixed point equation based on observing a trajectory of length $n$ from an ergodic Markov chain. We first exhibit a non-asymptotic bound of the order $t_{\mathrm{mix}} \tfrac{d}{n}$ on the squared error of the last iterate of a standard scheme, where $t_{\mathrm{mix}}$ is a mixing time. We then prove a non-asymptotic instance-dependent bound on a suitably averaged sequence of iterates, with a leading term that matches the local asymptotic minimax limit, including sharp dependence on the parameters $(d, t_{\mathrm{mix}})$ in the higher order terms. We complement these upper bounds with a non-asymptotic minimax lower bound that establishes the instance-optimality of the averaged SA estimator. We derive corollaries of these results for policy evaluation with Markov noise -- covering the TD($\lambda$) family of algorithms for all $\lambda \in [0, 1)$ -- and linear autoregressive models. Our instance-dependent characterizations open the door to the design of fine-grained model selection procedures for hyperparameter tuning (e.g., choosing the value of $\lambda$ when running the TD($\lambda$) algorithm).

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