An approximation algorithm for optimal consumption/investment problems.
Sanjiv R. DasRangarajan K. SundaramPublished in: Intell. Syst. Account. Finance Manag. (2002)
Keyphrases
- optimal solution
- dynamic programming
- learning algorithm
- detection algorithm
- np hard
- worst case
- optimization problems
- benchmark problems
- matching algorithm
- objective function
- optimal or near optimal
- iterative algorithms
- globally optimal
- closed form
- theoretical analysis
- optimization algorithm
- cost function
- globally optimal solutions
- error tolerance
- k means
- constant factor
- approximation ratio
- optimal strategy
- test problems
- recognition algorithm
- combinatorial optimization
- particle swarm optimization
- theoretical guarantees
- approximation algorithms
- np complete
- minimum error