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arXiv · 1503.09105

Two Timescale Stochastic Approximation with Controlled Markov noise and Off-policy temporal difference learning

Prasenjit Karmakar·Shalabh Bhatnagar
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Abstract

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 slower recursions have non-additive controlled Markov noise components in addition to martingale difference noise. We analyze the asymptotic behavior of our framework by relating it to limiting differential inclusions in both time-scales that are defined in terms of the ergodic occupation measures associated with the controlled Markov processes. Finally, we present a solution to the off-policy convergence problem for temporal difference learning with linear function approximation, using our results.

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Prasenjit Karmakar, Shalabh Bhatnagar. 2015-03-31. Two Timescale Stochastic Approximation with Controlled Markov noise and Off-policy temporal difference learning. https://arxiv.org/abs/1503.09105

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