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Primal-dual methods for the computation of trading regions under proportional transaction costs.

Roland HerzogKarl KunischJörn Sass
Published in: Math. Methods Oper. Res. (2013)
Keyphrases
  • primal dual
  • transaction costs
  • convex optimization
  • machine learning
  • reinforcement learning
  • long term
  • motion estimation
  • linear programming
  • linear program
  • approximation algorithms
  • computationally intensive