26 citations · 26 across the 2 of their papers we have counts for
2 papers
stat.ML2020★ 26 cited
Finite Time Analysis of Linear Two-timescale Stochastic Approximation with Markovian Noise
Maxim Kaledin, Eric Moulines, Alexey Naumov +2
Linear two-timescale stochastic approximation (SA) scheme is an important class of algorithms which has become popular in reinforcement learning (RL), particularly for the policy e…
q-fin.CP2019
Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm
D. Belomestny, M. Kaledin, J. Schoenmakers
In this article we propose a Weighted Stochastic Mesh (WSM) Algorithm for approximating the value of a discrete and continuous time optimal stopping problem. We prove that in the d…