Regret and Sample Complexity of Online Q-Learning via Concentration of Stochastic Approximation with Time-Inhomogeneous Markov Chains

Q-learning with linear function approximation can be unstable because an arbitrary approximation architecture need not preserve the Bellman contraction. We develop a stable infinite-dimensional linear function approximation framework for Q-learning from a single Markovian behavior-policy trajectory. The learning variable is a coefficient field $θ\in C(\mathbb L)$ on a compact latent metric space $(\mathbb L,ρ)$. The framework uses a reconstruction operator that maps $θ$ to a continuous Q-function and a compression operator that maps Bellman updates back to latent coordinates. Nonexpansiveness of both operators induces a contractive latent Bellman map on $C(\mathbb L)$, with a unique fixed point $θ^*$ whose reconstruction approximates the optimal Q-function up to representation error. We propose two stochastic approximation (SA) algorithms and establish their sup-norm convergence bounds with a leading term of order $\widetilde O(n^{-1/2})$. The infinite-dimensional formulation provides a powerful abstraction for identifying the structures that govern statistical difficulty. Smoothness of the compression map in $ρ$ is inherited by $θ^*$ and the SA iterates, allowing uniform estimation errors to be controlled through covering numbers of $(\mathbb L,ρ)$ rather than the dimension of $C(\mathbb L)$. Remarkably, the SA algorithms we propose are agnostic to the choice of $ρ$, and thus can automatically adapt to both the smoothness and the geometry. We further illustrate the framework through Q-measure-learning with linear density approximation and output-layer neural weight training under a frozen pretrained network.

In this paper, we derive rates of convergence in the high-dimensional central limit theorem for Polyak--Ruppert averaged iterates generated by entropy-regularized asynchronous Q-learning with linear function approximation and a polynomial stepsize $k^{-ω}$, $ω\in (1/2,1)$. Assuming that the sequence of observed triples $(s_k,a_k,s_{k+1})_{k \geq 0}$ forms a uniformly geometrically ergodic Markov chain, and under suitable regularity conditions for the projected soft Bellman equation, we establish a Gaussian approximation bound in the convex distance with rate of order $n^{-1/4}$, up to polylogarithmic factors in $n$, where $n$ is the number of samples used by the algorithm. To obtain this result, we combine a linearization of the soft Bellman recursion with a Gaussian approximation for the leading martingale term. Finally, we derive high-order moment bounds for the algorithm's last iterate, which might be of independent interest.

This paper investigates offline Q-learning for finite-horizon Markov decision processes with Kullback-Leibler (KL) regularization. Recent studies have shown that KL regularization can yield fast rates in offline decision-making problems. However, it remains unclear whether Q-learning, which adopts incremental stochastic approximation updates, can achieve such fast rates in the offline setting. We first propose KL-regularized Q-Learning (KLQ), a simple variant of classical Q-learning. By exploiting KL regularization, we prove that KLQ achieves a sample complexity of $\widetilde{O}(1/ε)$ without explicit pessimism. This guarantee, however, has an exponential dependence on the KL regularization parameter and the horizon. To address this limitation, we further propose KL-regularized Pessimistic Q-Learning (KLPQ), which incorporates pessimism into KLQ. We prove that KLPQ retains the same $\widetilde O(1/ε)$ rate while removing the explicit exponential dependence, thereby further improving the sample complexity. To the best of our knowledge, these results establish the first fast-rate guarantees for offline Q-learning in tabular finite-horizon KL-regularized MDPs.