Finite-Time Analysis and Restarting Scheme for Linear Two-Time-Scale Stochastic Approximation
Finite-Time Analysis and Restarting Scheme for Linear Two-Time-Scale Stochastic Approximation
Motivated by its broad applications in machine learning and reinforcement learning, we study the linear two-time-scale stochastic approximation, an iterative method using two different step sizes for finding the solutions of a system of two equations. Our main focus is to characterize the finite-time complexity of this method under time-varying …