Last-Iterate Guarantees for Online Reinforcement Learning in Structured Constrained MDPs

In safety-critical applications, deployment uses a single policy, whose performance and constraint satisfaction should hold directly rather than only for an average or mixture of training policies. This motivates last-iterate guarantees in constrained reinforcement learning. Recent progress has established such guarantees in exact-gradient or tabular online settings, yet scalable results for structured large-state problems remain open. We develop a general, statistically efficient framework for last-iterate convergence in structured Constrained MDPs (CMDPs). Our analysis separates contraction of the regularised primal-dual dynamics from actor approximation and statistical errors in policy evaluation under online exploration. This enables model-free on- and off-policy learning with structured function approximation: optimistic policy evaluation avoids explicit transition-model construction, while a compact parametric actor avoids maintaining mixtures or histories of past policies. We instantiate the framework for linear CMDPs and general function approximation, obtaining representation-dependent complexity and improved target-accuracy dependence over prior optimistic regularised primal-dual analyses. We further validate the stabilising effect predicted by our theory on a synthetic linear CMDP: the regularised method exhibits stable last-iterate behaviour, whereas its unregularised counterpart shows larger oscillations.