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Outer Products and Stochastic Approximation Algorithms in a Heavy-tailed and Long-range Dependent Setting
DownloadFall 2015
Classical time-series theories are mainly concerned with the statistical analysis of light-tailed and short-range dependent stationary linear processes. Applications in network theory and financial mathematics lead us to consider time series models with heavy tails and long memory. Heavy-tailed...
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2009
Technical report TR09-13. This article presents a survey of reinforcement learning algorithms for Markov Decision Processes (MDP). In the first half of the article, the problem of value estimation is considered. Here we start by describing the idea of bootstrapping and temporal difference...