Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem.
Ludovic GoudenègeAndrea MolentAntonino ZanettePublished in: Eur. J. Oper. Res. (2022)
Keyphrases
- moving average
- machine learning
- autoregressive
- reinforcement learning
- fourier transform
- decision processes
- arma model
- temporally extended
- band limited
- information extraction
- projection method
- stochastic process
- learning algorithm
- exponential smoothing
- computer vision
- situation calculus
- basis functions
- support vector machine
- image segmentation