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Optimized radial basis function neural network for improving approximate dynamic programming in pricing high dimensional options.
Ehsan Hajizadeh
Masoud Mahootchi
Published in:
Neural Comput. Appl. (2018)
Keyphrases
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approximate dynamic programming
radial basis function neural network
high dimensional
rbfnn
linear program
pattern classification
radial basis function
dynamic programming
reinforcement learning
step size
sensitivity analysis
multilayer perceptron
neural network
back propagation
rbf neural network
control policy
linear programming
average cost
genetic algorithm
data fusion
optimization algorithm
rbf network
search algorithm
objective function