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In this paper we consider the problem of obtaining sharp bounds for the performance of temporal difference (TD) methods with linear function approximation for policy evaluation in discounted Markov decision processes. We show that a simple algorithm with a universal and instance-independent step size together with Polyak-Ruppert tail averaging is sufficient to obtain near-optimal variance and bias terms. We also provide the respective sample complexity bounds. Our proof technique is based on refined error bounds for linear stochastic approximation together with the novel stability result for the product of random matrices that arise from the TD-type recurrence., Comment: Accepted to COLT-2024

This paper provides a finite-time analysis of linear stochastic approximation (LSA) algorithms with fixed step size, a core method in statistics and machine learning. LSA is used to compute approximate solutions of a $d$-dimensional linear system $\bar{\mathbf{A}} \theta = \bar{\mathbf{b}}$ for which $(\bar{\mathbf{A}}, \bar{\mathbf{b}})$ can only be estimated by (asymptotically) unbiased observations $\{(\mathbf{A}(Z_n),\mathbf{b}(Z_n))\}_{n \in \mathbb{N}}$. We consider here the case where $\{Z_n\}_{n \in \mathbb{N}}$ is an i.i.d. sequence or a uniformly geometrically ergodic Markov chain. We derive $p$-th moment and high-probability deviation bounds for the iterates defined by LSA and its Polyak-Ruppert-averaged version. Our finite-time instance-dependent bounds for the averaged LSA iterates are sharp in the sense that the leading term we obtain coincides with the local asymptotic minimax limit. Moreover, the remainder terms of our bounds admit a tight dependence on the mixing time $t_{\operatorname{mix}}$ of the underlying chain and the norm of the noise variables. We emphasize that our result requires the SA step size to scale only with logarithm of the problem dimension $d$.