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math.DS2016
Dynamics of stochastic approximation with iterate-dependent Markov noise under verifiable conditions in compact state space with the stability of iterates not ensured
Prasenjit Karmakar, Shalabh Bhatnagar
This paper compiles several aspects of the dynamics of stochastic approximation algorithms with Markov iterate-dependent noise when the iterates are not known to be stable beforeha…
math.DS2015
Two Timescale Stochastic Approximation with Controlled Markov noise and Off-policy temporal difference learning
Prasenjit Karmakar, Shalabh Bhatnagar
We present for the first time an asymptotic convergence analysis of two time-scale stochastic approximation driven by `controlled' Markov noise. In particular, both the faster and…