The Cross Entropy Method (CEM) is a generic optimization technique. It is a zero-th order method, i.e. you don’t gradients.1 So, for instance, it works well on combinatorial optimization problems, as well as reinforcement learning.Continue reading “Cross Entropy Method”
The exponential family of distributions are a particularly tractable, yet broad, class of probability distributions. They are tractable because of a particularly nice [Fenchel] duality relationship between natural parameters and moment parameters. Moment parameters can be estimated by taking the empirical mean of sufficient statistics and the duality relationship can then recover an estimate of the distributions natural parameters.Continue reading “Exponential Families”
For a Markov chain , consider the reward function
associated with rewards given by . We approximate the reward function with a linear approximation,
We briefly describe an Online Bayesian Framework which is sometimes referred to as Assumed Density Filer (ADF). And we review a heuristic proof of its convergence in the Gaussian case.