Stochastic Control Notes Update

I’ve updated the stochastic control notes here:

Stochastic_Control_2020_May.pdf

These still remain a work in progress.

(Typos/errors/mishaps found are welcome)

A quick summary of what is new:

  • I’ve updated a section on the ODE method for stochastic approximation.
  • I’ve improved the discussion around Temporal Difference methods and included some proofs.
  • I’ve added a proof of convergence for SARSA. 
  • I’ve added a section on Lyapunov functions in continuous time
    • La Salle, exponential convergence, and online convex optimization…
  • I’ve started a section on Policy Gradients but there is more recent proofs to include
  • I’ve started a section on Deep Learning for RL.

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