Chennai Mathematical Institute


Prof. Rajeeva's talks on his work with Prof. Vidyasagar.
Date(s): 13th, 16th September.
Time: 3:30 pm on 13th.
Venue: Seminar Hall on 13th
Introduction to Stochastic Approximation with a focus on Reinforced Learning

Rajeeva Karandikar
Chennai Mathematical Institute.


Stochastic Approximation is a theme that dates back about 70 years. In recent times, it is in focus again as it is playing a big role in Reinforced Learning.

The two talks will introduce Stochastic Approximation and heuristic solutions to the problem. The notion of martingales plays a central role in convergence questions related to Stochastic Approximation and will be introduced with examples.

We will also discuss some recent work (with Prof M Vidyasagar) on Batch Asynchronous Stochastic Approximation, where updates occur in batches and its applications to a problem in Reinforced Learning.

The first talk on the 13th will introduce the problem and notion of martingales and proofs of various statements and results will be presented on the 16th.

No specific background on probability theory is required.