There is huge literature on planning. We will attack this problem from the view of probabilistic artificial intelligence. In this case we focus on continuous, fully observed with non-linear transitions, an environment often used for robotics. It’s called Model Predictive Control (MPC). There are a few ways in which the model-based approach is advantageous. First, if we have an accurate model of the environment, we can use it for planning. \[....
Here is a historical treatment on the topic: https://jwmi.github.io/ASM/6-KalmanFilter.pdf. Kalman Filters are defined as follows: We start with a variable $X_{0} \sim \mathcal{N}(\mu, \Sigma)$, then we have a motion model and a sensor model: $$ \begin{cases} X_{t + 1} = FX_{t} + \varepsilon_{t} & F \in \mathbb{R}^{d\times d}, \varepsilon_{t} \sim \mathcal{N}(0, \Sigma_{x})\\ Y_{t} = HX_{t} + \eta_{t} & H \in \mathbb{R}^{m \times d}, \eta_{t} \sim \mathcal{N}(0, \Sigma_{y}) \end{cases} $$ Inference is just doing things with the Gaussians....
The main difference between reinforcement learning and other machine learning, pattern inference methods is that reinforcement learning takes the concept of actions into its core: models developed in this field can be actively developed to have an effect in its environment, while other methods are mainly used to summarize interesting data or generating sort of reports. Reinforcement learning (RL) is an interdisciplinary area of machine learning and optimal control concerned with how an intelligent agent ought to take actions in a dynamic environment in order to maximize the cumulative reward....
While Active Learning looks for the most informative points to recover a true underlying function, Bayesian Optimization is just interested to find the maximum of that function. In Bayesian Optimization, we ask for the best way to find sequentially a set of points $x_{1}, \dots, x_{n}$ to find $\max_{x \in \mathcal{X}} f(x)$ for a certain unknown function $f$. This is what the whole thing is about. Definitions First we will introduce some useful definitions in this context....
Robbins-Moro Algorithm The Algorithm the algorithm is very simple we do the following until convergence: set some learning rates that satisfy the Robbins Moro Conditions, choose a $w_{0}$ then update in the following way: $$ w_{n+1} = w_{n} - \alpha_{n} \Delta w_{n} $$ For example with $\alpha_{0} > \alpha_{1} > \dots > \alpha_{n} \dots$, and $\alpha_{t} = \frac{1}{t}$ they satisfy the condition (in practice we use a constant $\alpha$, but we lose the convergence guarantee by Robbins Moro)....