The Mean-Squared Error of Double Q-Learning

Part of Advances in Neural Information Processing Systems 33 pre-proceedings (NeurIPS 2020)

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Wentao Weng, Harsh Gupta, Niao He, Lei Ying, R. Srikant


<p>In this paper, we establish a theoretical comparison between the asymptotic mean square errors of double Q-learning and Q-learning. Our result builds upon an analysis for linear stochastic approximation based on Lyapunov equations and applies to both tabular setting or with linear function approximation, provided that the optimal policy is unique and the algorithms converge. We show that the asymptotic mean-square error of Double Q-learning is exactly equal to that of Q-learning if Double Q-learning uses twice the learning rate of Q-learning and the output of Double Q-learning is the average of its two estimators. We also present some practical implications of this theoretical observation using simulations.</p>