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.

Concentration of General Stochastic Approximation Under Heavy-Tailed Markovian Noise

We establish maximal concentration bounds for the iterates generated by stochastic approximation algorithms with general step sizes, where the noise has a finite-state Markovian component plus a Martingale-difference component. When the Martingale-difference noise is bounded, we show that the tail of the error can be sub-Gaussian, sub-Weibull, or something lighter than any Pareto but heavier than any Weibull, depending on the step size sequence and on whether the random operator is almost surely contractive, almost surely non-expansive, or expansive with positive probability. Our analysis relies on a novel Lyapunov function involving the moment-generating function of the solution to a Poisson equation, together with an auxiliary projected algorithm. We complement the upper bounds with worst-case examples showing that qualitatively sharper bounds are impossible. We further study the case of unbounded Martingale-difference noise when the average operator is contractive, and the step sizes are of order $1/k$. In this setting, we show that if the random operator is almost surely non-expansive, then the error tail is at most three times heavier than the noise tail, whereas if the random operator is expansive with positive probability, then the error may have substantially heavier tails. These results are obtained through a novel black-box truncation argument that reduces the unbounded-noise setting to the bounded-noise case.