Concentration of Contractive Stochastic Approximation and Reinforcement Learning

Siddharth Chandak; Vivek S. Borkar; Parth Dodhia

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arXiv · 2106.14308

Concentration of Contractive Stochastic Approximation and Reinforcement Learning

Siddharth Chandak·Vivek S. Borkar·Parth Dodhia

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Abstract

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).

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Siddharth Chandak, Vivek S. Borkar, Parth Dodhia. 2021-06-27. Concentration of Contractive Stochastic Approximation and Reinforcement Learning. https://arxiv.org/abs/2106.14308

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