arXiv subjects

Siddharth Chandak

Publications and source records attributed to Siddharth Chandak.

At least 19 recordsLinked to original sources

arXiv2026

Concentration and Mean-Square Bounds for Contractive Stochastic Approximation: A Unified Elementary Approach

We establish mean-square and concentration bounds for stochastic approximation (SA) with arbitrary norm contractive mappings, under a multiplicative noise model where the noise may scale affinely with the norm of the iterates, and the iterates are potentially unbounded. These settings arise in reinforcement learning, where operators are often contractive in the $\ell_\infty$ norm and the noise scales with the iterates. To address the arbitrary norm, earlier works replace the non-smooth squared norm with a smooth Lyapunov function constructed via the generalized Moreau envelope. For concentration analysis, these works handle multiplicative noise and unbounded iterates through a multi-stage bootstrapping argument that starts from a time-varying worst-case bound and iteratively refines it. We instead present a unified and elementary analysis that yields both bounds. Using an averaged noise sequence and corresponding auxiliary iterates, we obtain a one-step Lyapunov drift inequality for the normed error directly, without smoothing the norm or constructing an envelope. For the mean-square bound, we combine this drift inequality with an induction argument showing that the iterates remain bounded in expectation. For the concentration bound, we develop a probabilistic induction over a sequence of "good" events on which the iterates are controlled, allowing the standard Azuma-Hoeffding bound to be applied. Our approach yields the first sub-Gaussian tailed maximal (all-time) concentration bound for SA under multiplicative noise, by allowing the stepsize to depend logarithmically on the confidence level. Beyond the specific setting considered here, we discuss the generalizability of these proof techniques to other noise models and iterative algorithms.

cs.LG↗

arXiv2026

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

We present the first regret bound for classical online Q-learning in infinite-horizon discounted Markov decision processes (MDPs), without relying on optimism or bonus terms. We first analyze Boltzmann Q-learning with decaying temperature and show that its regret depends critically on the suboptimality gap of the MDP: for sufficiently large gaps, the regret is sublinear, while for small gaps it deteriorates and can approach linear growth. To address this limitation, we study a Smoothed $ε_n$-Greedy exploration scheme that combines $ε_n$-greedy and Boltzmann exploration, for which we prove a gap-robust regret bound of near-$\tilde{O}(N^{9/10})$. We also obtain sample complexity guarantees, with both regret and sample complexity bounds holding with high probability. To analyze these algorithms, we develop a high-probability concentration bound for contractive Markovian stochastic approximation with iterate- and time-dependent transition dynamics. This bound may be of independent interest as the contraction factor in our framework is allowed to converge to one asymptotically.

cs.LG↗

arXiv2026

Policy Gradient Methods for Non-Markovian Reinforcement Learning

We study policy gradient methods for reinforcement learning in non-Markovian decision processes (NMDPs), where observations and rewards depend on the entire interaction history. To handle this dependence, the agent maintains an internal state that is recursively updated to provide a compact summary of past observations and actions. In contrast to approaches that treat the agent state dynamics as fixed or learn it via predictive objectives, we propose a reward-centric formulation that jointly optimizes the agent state dynamics and the control policy to maximize the expected cumulative reward. To this end, we consider a class of Agent State-Markov (ASM) policies, comprising an agent state dynamics and a control policy that maps the agent state to actions. We establish a novel policy gradient theorem for ASM policies, extending the classical policy gradient results from the Markovian setting to episodic and infinite-horizon discounted NMDPs. Building on this gradient expression, we propose the Agent State-Markov Policy Gradient (ASMPG) algorithm, which leverages the recursive structure of the agent state dynamics for efficient optimization. We establish finite-time and almost sure convergence guarantees, and empirically demonstrate that, on a range of non-Markovian tasks, ASMPG outperforms baselines that learn state representations via predictive objectives.

cs.LG↗

arXiv2026

Last-Iterate Guarantees for Learning in Co-coercive Games

We establish finite-time last-iterate guarantees for vanilla stochastic gradient descent in co-coercive games under noisy feedback. This is a broad class of games that is more general than strongly monotone games, allows for multiple Nash equilibria, and includes examples such as quadratic games with negative semidefinite interaction matrices and potential games with smooth concave potentials. Prior work in this setting has relied on relative noise models, where the noise vanishes as iterates approach equilibrium, an assumption that is often unrealistic in practice. We work instead under a substantially more general noise model in which the second moment of the noise is allowed to scale affinely with the squared norm of the iterates, an assumption natural in learning with unbounded action spaces. Under this model, we prove a last-iterate bound of order $O(\log(t)/t^{1/3})$, the first such bound for co-coercive games under non-vanishing noise. We additionally establish almost sure convergence of the iterates to the set of Nash equilibria and derive time-average convergence guarantees.

cs.GT↗

arXiv2026

Choose Your Battles: Distributed Learning Over Multiple Tug of War Games

Consider $N$ players and $K$ games taking place simultaneously. Each of these games is modeled as a Tug-of-War (ToW) game where increasing the action of one player decreases the reward for all other players. Each player participates in only one game at any given time. At each time step, a player decides the game in which they wish to participate in and the action they take in that game. Their reward depends on the actions of all players that are in the same game. This system of $K$ games is termed a 'Meta Tug-of-War' (Meta-ToW) game. These games can model scenarios such as power control, distributed task allocation, and activation in sensor networks. We propose the Meta Tug-of-Peace algorithm, a distributed algorithm where the action updates are done using a simple stochastic approximation algorithm, and the decision to switch games is made using an infrequent 1-bit communication between the players. We prove that in Meta-ToW games, our algorithm converges to an equilibrium that satisfies a target Quality of Service reward vector for the players. We then demonstrate the efficacy of our algorithm through simulations for the scenarios mentioned above.

cs.GT↗

arXiv2026

Non-Expansive Mappings in Two-Time-Scale Stochastic Approximation: Finite-Time Analysis

Two-time-scale stochastic approximation algorithms are iterative methods used in applications such as optimization, reinforcement learning, and control. Finite-time analysis of these algorithms has primarily focused on fixed point iterations where both time-scales have contractive mappings. In this work, we broaden the scope of such analyses by considering settings where the slower time-scale has a non-expansive mapping. For such algorithms, the slower time-scale can be viewed as a stochastic inexact Krasnoselskii-Mann iteration. We also study a variant where the faster time-scale has a projection step which leads to non-expansiveness in the slower time-scale. We show that the last-iterate mean square residual error for such algorithms decays at a rate $O(1/k^{1/4-ε})$, where $ε>0$ is arbitrarily small. We further establish almost sure convergence of iterates to the set of fixed points. We demonstrate the applicability of our framework by applying our results to minimax optimization, linear stochastic approximation, and Lagrangian optimization.

math.OC↗

arXiv2026

Heavy-Tailed and Long-Range Dependent Noise in Stochastic Approximation: A Finite-Time Analysis

Stochastic approximation (SA) is a fundamental iterative framework with broad applications in reinforcement learning and optimization. Classical analyses typically rely on martingale difference or Markov noise with bounded second moments, but many practical settings, including finance and communications, frequently encounter heavy-tailed and long-range dependent (LRD) noise. In this work, we study SA for finding the root of a strongly monotone operator under these non-classical noise models. We establish the first finite-time moment bounds in both settings, providing explicit convergence rates that quantify the impact of heavy tails and temporal dependence. Our analysis employs a noise-averaging argument that regularizes the impact of noise without modifying the iteration. Finally, we apply our general framework to stochastic gradient descent (SGD) and gradient play, and corroborate our finite-time analysis through numerical experiments.

cs.LG↗

arXiv2026

High-Probability Bounds for SGD under the Polyak-Lojasiewicz Condition with Markovian Noise

We present the first uniform-in-time high-probability bound for SGD under the PL condition, where the gradient noise contains both Markovian and martingale difference components. This significantly broadens the scope of finite-time guarantees, as the PL condition arises in many machine learning and deep learning models while Markovian noise naturally arises in decentralized optimization and online system identification problems. We further allow the magnitude of noise to grow with the function value, enabling the analysis of many practical sampling strategies. In addition to the high-probability guarantee, we establish a matching $1/k$ decay rate for the expected suboptimality. Our proof technique relies on the Poisson equation to handle the Markovian noise and a probabilistic induction argument to address the lack of almost-sure bounds on the objective. Finally, we demonstrate the applicability of our framework by analyzing three practical optimization problems: token-based decentralized linear regression, supervised learning with subsampling for privacy amplification, and online system identification.

cs.LG↗

arXiv2026

Learning to Control Unknown Strongly Monotone Games

Consider a strongly monotone game where the players' utility functions include a reward function and a linear term for each dimension, with coefficients that are controlled by the manager. Gradient play converges to a unique Nash equilibrium (NE) that does not optimize the global objective. The global performance at NE can be improved by imposing linear constraints on the NE, also known as a generalized Nash equilibrium (GNE). We therefore want the manager to control the coefficients such that they impose the desired constraint on the NE. However, this requires knowing the players' rewards and action sets. Obtaining this game information is infeasible in a large-scale network and violates user privacy. To overcome this, we propose a simple algorithm that learns to shift the NE to meet the linear constraints by adjusting the controlled coefficients online. Our algorithm only requires the linear constraints violation as feedback and does not need to know the reward functions or the action sets. We prove that our algorithm converges with probability 1 to the set of GNE given by coupled linear constraints. We then prove an L2 convergence rate of near-$O(t^{-1/4})$.

cs.MA↗

arXiv2026

$O(1/k)$ Finite-Time Bound for Non-Linear Two-Time-Scale Stochastic Approximation

Two-time-scale stochastic approximation (SA) is an algorithm with coupled iterations which has found broad applications in reinforcement learning, optimization and game control. In this work, we derive mean squared error bounds for non-linear two-time-scale iterations with contractive mappings. In the setting where both stepsizes are order $Θ(1/k)$, commonly referred to as single time-scale SA with multiple coupled sequences, we obtain the first $O(1/k)$ rate without imposing additional smoothness assumptions. In the setting with true time-scale separation, the previous best bound was $O(1/k^{2/3})$. We improve this to $O(1/k^a)$ for any $a<1$ approaching the optimal $O(1/k)$ rate. The key step in our analysis involves rewriting the original iteration in terms of an averaged noise sequence whose variance decays sufficiently fast. Additionally, we use an induction-based approach to show that the iterates are bounded in expectation. Our results apply to Polyak averaging, as well as to algorithms from reinforcement learning, and optimization, including gradient descent-ascent and two-time-scale Lagrangian optimization.

cs.LG↗

arXiv2026

A Concentration Bound for TD(0) with Function Approximation

We derive uniform all-time concentration bound of the type 'for all $n \geq n_0$ for some $n_0$' for TD(0) with linear function approximation. We work with online TD learning with samples from a single sample path of the underlying Markov chain. This makes our analysis significantly different from offline TD learning or TD learning with access to independent samples from the stationary distribution of the Markov chain. We treat TD(0) as a contractive stochastic approximation algorithm, with both martingale and Markov noises. Markov noise is handled using the Poisson equation and the lack of almost sure guarantees on boundedness of iterates is handled using the concept of relaxed concentration inequalities.

cs.LG↗

arXiv2025

Learning to Speak on Behalf of a Group: Medium Access Control for Sending a Shared Message

The rapid development of Internet of Things (IoT) technologies has not only enabled new applications, but also presented new challenges for reliable communication with limited resources. In this work, we define a novel problem that can arise in these scenarios, in which a set of sensors need to communicate a joint observation. This observation is shared by a random subset of the nodes, which need to propagate it to the rest of the network, but coordination is complex: as signaling constraints require the use of random access schemes over shared channels, sensors need to implicitly coordinate, so that at least one transmission gets through without collisions. Unlike the majority of existing medium access schemes, the goal is to make sure that the shared message gets through, regardless of the sender. We analyze this coordination problem theoretically and provide low-complexity solutions. While a clustering-based approach is near-optimal if the sensors have prior knowledge, we provide a distributed multi-armed bandit (MAB) solution for the more general case and validate it by simulation.

cs.NI↗

arXiv2025

Finite-Time Bounds for Two-Time-Scale Stochastic Approximation with Arbitrary Norm Contractions and Markovian Noise

Two-time-scale Stochastic Approximation (SA) is an iterative algorithm with applications in reinforcement learning and optimization. Prior finite time analysis of such algorithms has focused on fixed point iterations with mappings contractive under Euclidean norm. Motivated by applications in reinforcement learning, we give the first mean square bound on non linear two-time-scale SA where the iterations have arbitrary norm contractive mappings and Markovian noise. We show that the mean square error decays at a rate of $O(1/n^{2/3})$ in the general case, and at a rate of $O(1/n)$ in a special case where the slower timescale is noiseless. Our analysis uses the generalized Moreau envelope to handle the arbitrary norm contractions and solutions of Poisson equation to deal with the Markovian noise. By analyzing the SSP Q-Learning algorithm, we give the first $O(1/n)$ bound for an algorithm for asynchronous control of MDPs under the average reward criterion. We also obtain a rate of $O(1/n)$ for Q-Learning with Polyak-averaging and provide an algorithm for learning Generalized Nash Equilibrium (GNE) for strongly monotone games which converges at a rate of $O(1/n^{2/3})$.

cs.LG↗

arXiv2025

Optimal Control for Remote Patient Monitoring with Multidimensional Health States

Selecting the right monitoring level in Remote Patient Monitoring (RPM) systems for e-healthcare is crucial for balancing patient outcomes, various resources, and patient's quality of life. A prior work has used one-dimensional health representations, but patient health is inherently multidimensional and typically consists of many measurable physiological factors. In this paper, we introduce a multidimensional health state model within the RPM framework and use dynamic programming to study optimal monitoring strategies. Our analysis reveals that the optimal control is characterized by switching curves (for two-dimensional health states) or switching hyper-surfaces (in general): patients switch to intensive monitoring when health measurements cross a specific multidimensional surface. We further study how the optimal switching curve varies for different medical conditions and model parameters. This finding of the optimal control structure provides actionable insights for clinicians and aids in resource planning. The tunable modeling framework enhances the applicability and effectiveness of RPM services across various medical conditions.

eess.SY↗

arXiv2024

Tiered Service Architecture for Remote Patient Monitoring

We develop a remote patient monitoring (RPM) service architecture, which has two tiers of monitoring: ordinary and intensive. The patient's health state improves or worsens in each time period according to certain probabilities, which depend on the monitoring tier. The patient incurs a "loss of quality of life" cost or an "invasiveness" cost, which is higher under intensive monitoring than under ordinary. On the other hand, their health improves faster under intensive monitoring than under ordinary. In each period, the service decides which monitoring tier to use, based on the health of the patient. We investigate the optimal policy for making that choice by formulating the problem using dynamic programming. We first provide analytic conditions for selecting ordinary vs intensive monitoring in the asymptotic regime where the number of health states is large. In the general case, we investigate the optimal policy numerically. We observe a threshold behavior, that is, when the patient's health drops below a certain threshold the service switches them to intensive monitoring, while ordinary monitoring is used during adequately good health states of the patient. The modeling and analysis provides a general framework for managing RPM services for various health conditions with medically/clinically defined system parameters.

eess.SY↗

arXiv2024

Reinforcement Learning in Non-Markovian Environments

Motivated by the novel paradigm developed by Van Roy and coauthors for reinforcement learning in arbitrary non-Markovian environments, we propose a related formulation and explicitly pin down the error caused by non-Markovianity of observations when the Q-learning algorithm is applied on this formulation. Based on this observation, we propose that the criterion for agent design should be to seek good approximations for certain conditional laws. Inspired by classical stochastic control, we show that our problem reduces to that of recursive computation of approximate sufficient statistics. This leads to an autoencoder-based scheme for agent design which is then numerically tested on partially observed reinforcement learning environments.

eess.SY↗

arXiv2023

Equilibrium Bandits: Learning Optimal Equilibria of Unknown Dynamics

Consider a decision-maker that can pick one out of $K$ actions to control an unknown system, for $T$ turns. The actions are interpreted as different configurations or policies. Holding the same action fixed, the system asymptotically converges to a unique equilibrium, as a function of this action. The dynamics of the system are unknown to the decision-maker, which can only observe a noisy reward at the end of every turn. The decision-maker wants to maximize its accumulated reward over the $T$ turns. Learning what equilibria are better results in higher rewards, but waiting for the system to converge to equilibrium costs valuable time. Existing bandit algorithms, either stochastic or adversarial, achieve linear (trivial) regret for this problem. We present a novel algorithm, termed Upper Equilibrium Concentration Bound (UECB), that knows to switch an action quickly if it is not worth it to wait until the equilibrium is reached. This is enabled by employing convergence bounds to determine how far the system is from equilibrium. We prove that UECB achieves a regret of $\mathcal{O}(\log(T)+τ_c\log(τ_c)+τ_c\log\log(T))$ for this equilibrium bandit problem where $τ_c$ is the worst case approximate convergence time to equilibrium. We then show that both epidemic control and game control are special cases of equilibrium bandits, where $τ_c\log τ_c$ typically dominates the regret. We then test UECB numerically for both of these applications.

cs.LG↗

arXiv2022

A Concentration Bound for LSPE($λ$)

The popular LSPE($λ$) algorithm for policy evaluation is revisited to derive a concentration bound that gives high probability performance guarantees from some time on.

cs.LG↗