Concentration of Contractive Stochastic Approximation and Reinforcement Learning

06/27/2021

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by   Siddharth Chandak, et al.

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Using a martingale concentration inequality, concentration bounds `from time n_0 on' are derived for stochastic approximation algorithms with contractive maps and both martingale difference and Markov noises. These are applied to reinforcement learning algorithms, in particular to asynchronous Q-learning and TD(0).