Artemy Rubtsov

Gaussian Approximation for Two-Timescale Linear Stochastic Approximation

In this paper, we establish non-asymptotic bounds for accuracy of normal approximation for linear two-timescale stochastic approximation (TTSA) algorithms driven by martingale difference or Markov noise. Focusing on both the last iterate and Polyak–Ruppert averaging regimes, we derive bounds for nor