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Approximation of Markov chains

✍ Scribed by S. A. Anichkin; V. V. Kalashnikov


Publisher
Springer US
Year
1986
Tongue
English
Weight
522 KB
Volume
32
Category
Article
ISSN
1573-8795

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✍ Vijay R. Konda; John N. Tsitsiklis πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 241 KB

We study a linear stochastic approximation algorithm that arises in the context of reinforcement learning. The algorithm employs a decreasing step-size, and is driven by Markov noise with time-varying statistics. We show that under suitable conditions, the algorithm can track the changes in the stat