Optimal Control of Trading Algorithms: A General Impulse Control Approach.
Bruno BouchardNgoc-Minh DangCharles-Albert LehallePublished in: SIAM J. Financial Math. (2011)
Keyphrases
- optimal control
- control problems
- feedback control
- control strategy
- dynamic programming
- risk sensitive
- reinforcement learning
- optimal control problems
- special case
- brownian motion
- convergence rate
- impedance control
- real time
- control theory
- infinite horizon
- control law
- lot sizing
- knapsack problem
- utility function
- multistage
- control system
- learning algorithm