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

Sergey Samsonov, Eric Moulines, Qi-Man Shao +2

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) algorith…