Variance-Reduced Off-Policy TDC Learning: Non-Asymptotic Convergence Analysis
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Variance reduction techniques have been successfully applied to temporal-difference (TD) learning and help to improve the sample complexity in policy evaluation. However, the existing work applied variance reduction to either the less popular one time-scale TD algorithm or the two time-scale GTD algorithm but with a finite number of i.i.d. samples, and both algorithms apply to only the on-policy setting. In this work, we develop a variance reduction scheme for the two time-scale TDC algorithm in the off-policy setting and analyze its non-asymptotic convergence rate over both i.i.d. and Markovian samples. In the i.i.d. setting, our algorithm achieves a sample complexity O(ϵ^-3/5logϵ^-1) that is lower than the state-of-the-art result O(ϵ^-1logϵ^-1). In the Markovian setting, our algorithm achieves the state-of-the-art sample complexity O(ϵ^-1logϵ^-1) that is near-optimal. Experiments demonstrate that the proposed variance-reduced TDC achieves a smaller asymptotic convergence error than both the conventional TDC and the variance-reduced TD.
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