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.

Stochastic Control 2020

Another year of MATH69122! — aka Stochastic Control.

This year, I will try to keep updating PDFs with slides and notes for each lecture. I’ll keep notes for the course in the “PDF” tab above. These are also here:

Stochastic Control 2020 [pdf]

Here is a rough plan for each week of lectures:

Continue reading “Stochastic Control 2020”