The Bias of Nonlinear Two-Time-scale Stochastic Approximation under Constant Step-Sizes

Abstract: Two-timescale stochastic approximation (TTSA) is a fundamental tool for analyzing coupled iterative algorithms in reinforcement learning, optimization, and stochastic control. However, finite-time guarantees for nonlinear two-timescale schemes remain difficult to obtain, especially under constant step-sizes. In this paper, we study nonlinear TTSA with step-sizes $α\ggβ$. Under standard stability, regularity, and Markovian noise assumptions, we upper bound the mean-squared error and the bias of both iterates around their limiting equilibria. Our bounds scale as $O(α+β<sup>2/α<sup>2)$, which we prove to be tight when $β\leα<sup>{3/2}$. The analysis separates the contributions of initial conditions, fast-timescale tracking error, Markovian dependence, and timescale coupling, thereby clarifying the origin of the $β<sup>2/α<sup>2$ term. Our results reveal qualitative differences from the linear TTSA setting previously studied, showing that nonlinear dynamics introduce additional finite-time effects that are absent in the linear case.