Stochastic switching for partially observable dynamics and optimal asset allocation.
Juri HinzJeremy YeePublished in: Int. J. Control (2017)
Keyphrases
- partially observable
- dynamical systems
- decision problems
- asset allocation
- state space
- dynamic programming
- partial observability
- reinforcement learning
- markov decision processes
- infinite horizon
- partial observations
- optimal portfolio
- optimal solution
- markov decision problems
- portfolio management
- control policies
- belief state
- optimal policy