Optimal trading under non-negativity constraints using approximate dynamic programming.

Shahin Abbaszadeh Tri-Dung Nguyen Yue Wu

Published in: J. Oper. Res. Soc. (2018)

Keyphrases

approximate dynamic programming
stochastic dynamic programming
linear program
dynamic programming
control policy
reinforcement learning
step size
average cost
linear programming
factored mdps
continuous state
optimal solution
search space
influence diagrams