The surprising efficiency of temporal difference learning for rare event prediction

We quantify the efficiency of temporal difference (TD) learning over the direct, or Monte Carlo (MC), estimator for policy evaluation in reinforcement learning, with an emphasis on estimation of quantities related to rare events. Policy evaluation is complicated in the rare event setting by the long timescale of the event and by the need for relative accuracy in estimates of very small values. Specifically, we focus on least-squares TD (LSTD) prediction for finite state Markov chains, and show that LSTD can achieve relative accuracy far more efficiently than MC. We prove a central limit theorem for the LSTD estimator and upper bound the relative asymptotic variance by simple quantities characterizing the connectivity of states relative to the transition probabilities between them. Using this bound, we show that, even when both the timescale of the rare event and the relative error of the MC estimator are exponentially large in the number of states, LSTD maintains a fixed level of relative accuracy with a total number of observed transitions of the Markov chain that is only polynomially large in the number of states.