Analysis of Temporal Difference Learning: Linear System Approach

The goal of this technical note is to introduce a new finite-time convergence analysis of temporal difference (TD) learning based on stochastic linear system models. TD-learning is a fundamental reinforcement learning (RL) to evaluate a given policy by estimating the corresponding value function for a Markov decision process. While there has been a series of successful works in theoretical analysis of TDlearning, it was not until recently that researchers found some guarantees on its statistical efficiency by developing finite-time error bounds. In this paper, we propose a simple control theoretic finite-time analysis of TD-learning, which exploits linear system models and standard notions in linear system communities. The proposed work provides new simple templets for RL analysis, and additional insights on TD-learning and RL based on ideas in control theory.