A Concentration Bound for Two-Timescale Actor-Critic Algorithm

Significant research effort has been directed in recent years towards establishing both asymptotic and non-asymptotic convergence guarantees for two-timescale actor--critic algorithms, where the actor recursion is run on a slower timescale than the critic recursion. This work derives a uniform all-time concentration bound for the actor--critic algorithm with function approximation in the long-run average-reward setting. This bound helps us analyze the behavior of the actor parameter with high probability. We show that, after some finite time, the actor parameter enters a safe region and remains within it thereafter with high probability. Specifically, with probability at least 1-ε_1-ε_2, the actor error \Vert θ_k-θ^{*}\Vert is O\left(\frac{n_0^{3/4}}{k}\frac{1}{\sqrt{ε_2}}+\left(\frac{1}{n_0}\right)^{1/4}\log^{1/4}\left(\frac{1}{ε_1}\right)+\left(\frac{1}{n_0}\right)^{1/4}\right) for all k\geq n_0 and sufficiently large n_0. We also present experimental results demonstrating that the aforementioned actor error diminishes with the number of actor-parameter updates.