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Ergodic Learning Algorithms

In: Learning Algorithms Theory and Applications

Author

Listed:
  • S. Lakshmivarahan

    (University of Oklahoma, School of Electrical Engineering and Computer Science)

Abstract

This chapter presents an analysis of general non-linear reward-penalty ergodic-N R-P E algorithms. The basic property that characterizes this class of algorithms is that all the states under this class of algorithms are non-absorbing. The now classic linear reward-penalty — LER−P algorithm is a special case of this algorithm. It is well known [C1] that this LER−P algorithm is only expedient. Using the theory of Markov processes that evolve by small steps [N14] a variety of characterizations of the process p(k) k ≥ 0 such as the evolution of the mean and variance and in fact its actual sample path behavior are given. As a by-product, it is proved that there exists a proper choice of parameters and functions such that the NER−P algorithm is ε-optimal.

Suggested Citation

  • S. Lakshmivarahan, 1981. "Ergodic Learning Algorithms," Springer Books, in: Learning Algorithms Theory and Applications, chapter 0, pages 19-65, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4612-5975-6_2
    DOI: 10.1007/978-1-4612-5975-6_2
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