Qi-Man Shao

Gaussian Approximation and Multiplier Bootstrap for Polyak-Ruppert Averaged Linear Stochastic Approximation with Applications to TD Learning

In this paper, we obtain the Berry–Esseen bound for multivariate normal approximation for the Polyak-Ruppert averaged iterates of the linear stochastic approximation (LSA) algorithm with decreasing step size. Moreover, we prove the non-asymptotic validity of the confidence intervals for parameter es…