The worst-case discounted regret portfolio optimization problem.
Ying JiTienan WangMark GohYong ZhouBo ZouPublished in: Appl. Math. Comput. (2014)
Keyphrases
- worst case
- lower bound
- average case
- upper bound
- greedy algorithm
- approximation algorithms
- nature inspired
- error bounds
- np hard
- markov decision processes
- dynamic programming
- worst case analysis
- online algorithms
- worst case scenario
- optimal policy
- infinite horizon
- running times
- computational complexity
- online learning
- special case
- portfolio optimization
- space complexity
- finite state
- simulated annealing
- support vector
- loss bounds
- objective function