Linear stochastic approximation driven by slowly varying Markov chains

DOI10.1016/S0167-6911(03)00132-4zbMATH Open1157.93533OpenAlexW2078618768MaRDI QIDQ2503529FDOQ2503529

Vijay R. Konda, John N. Tsitsiklis

Publication date: 21 September 2006

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6911(03)00132-4

zbMATH Keywords

Stochastic approximationAdaptive algorithmsReinforcement learning

Mathematics Subject Classification ID

Stochastic approximation (62L20) Identification in stochastic control theory (93E12)

Cites Work

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• Markov chains and stochastic stability
• OnActor-Critic Algorithms
• Stochastic approximation with two time scales
• The O.D.E. Method for Convergence of Stochastic Approximation and Reinforcement Learning
• Convergence of an adaptive linear estimation algorithm
• Asymptotic behavior of stochastic approximation and large deviations

Cited In (4)

• Approximation order analysis for the piecewise linear Markov method
• Simulation-based optimal sensor scheduling with application to observer trajectory planning
• Two Time-Scale Stochastic Approximation with Controlled Markov Noise and Off-Policy Temporal-Difference Learning
• Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement

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