Title: Sharp asymptotic theory for Q-learning with \texttt{LD2Z} learning rate and its generalization
Primary area: learning theory
Keywords: Q-learning, Stochastic approximation, central limit theory, strong invariance principle

Abstract: Despite the sustained popularity of Q-learning as a practical tool for policy determination, a majority of relevant theoretical literature deals with either constant ($\eta_t\equiv \eta$) or polynomially decaying ($\eta_t = \eta t^{-\alpha}$) learning schedules. However, it is well known the these choices suffer from either persistent bias or prohibitively slow convergence. In contrast, the recently proposed linear decay to zero (\texttt{LD2Z}: $\eta_t=\eta(1-t/n)$) schedule has shown appreciable empirical performance, but its theoretical and statistical properties remain largely unexplored, especially in the Q-learning setting. We address this gap in the literature by first considering a general class of power-law decay to zero (\texttt{PD2Z}-$\nu$: $\eta_t=\eta(1-t/n)^{\nu}$). Proceeding step-by-step, we present a sharp non-asymptotic error bound for Q-learning with \texttt{PD2Z}-$\nu$ schedule, which then is used to derive a central limit theory for a new \textit{tail} Polyak-Ruppert averaging estimator. Finally, we also provide a novel time-uniform Gaussian approximation (also known as \textit{strong invariance principle}) for the partial sum process of Q-learning iterates, which facilitates bootstrap-based inference. All our theoretical results are complemented by extensive numerical experiments. Beyond being new theoretical and statistical contributions to the Q-learning literature, our results definitively establish that \texttt{LD2Z} and in general \texttt{PD2Z}-$\nu$ achieve a best-of-both-worlds property: they inherit the rapid decay from initialization (characteristic of constant step-sizes) while retaining the asymptotic convergence guarantees (characteristic of polynomially decaying schedules). This dual advantage explains the empirical success of \texttt{LD2Z} while providing practical guidelines for inference through our results.