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stat.ML2025
Uncertainty quantification for Markov chain induced martingales with application to temporal difference learning
Weichen Wu, Yuting Wei, Alessandro Rinaldo
We establish novel and general high-dimensional concentration inequalities and Berry-Esseen bounds for vector-valued martingales induced by Markov chains. We apply these results to…
stat.ML2024★ 1 cited
Statistical Inference for Policy Evaluation with Temporal Difference Learning
Weichen Wu, Gen Li, Yuting Wei +1
We investigate the statistical properties of Temporal Difference (TD) learning with Polyak-Ruppert averaging, arguably one of the most widely used algorithms in reinforcement learn…