stat.MLApr 5, 2026

Sharp asymptotic theory for Q-learning with LDTZ learning rate and its generalization

Authors: Soham Bonnerjee, Zhipeng Lou, Wei Biao Wu

Organizations: Department of Statistics, University of Chicago · Department of Mathematics, University of California, San Diego

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 (ηt≡ηη_{t}\equiv η) or polynomially decaying (ηt=ηt−αη_{t} = ηt^{-α}) learning schedules. However, it is well known that these choices suffer from either persistent bias or prohibitively slow convergence. In contrast, the recently proposed linear decay to zero (LD2Z: ηt,n=η(1−t/n)η_{t,n}=η(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 (PD2Z-νν: ηt,n=η(1−t/n)νη_{t,n}=η(1-t/n)^ν). Proceeding step-by-step, we present a sharp non-asymptotic error bound for Q-learning with PD2Z-νν schedule, which then is used to derive a central limit theory for a new tail Polyak-Ruppert averaging estimator. Finally, we also provide a novel time-uniform Gaussian approximation (also known as 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 LD2Z and in general PD2Z-νν 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 LD2Z while providing practical guidelines for inference through our results.

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