Optimal control of execution costs for portfolios.
Dimitris BertsimasAndrew W. LoPaul HummelPublished in: Comput. Sci. Eng. (1999)
Keyphrases
- optimal control
- average cost
- dynamic programming
- control problems
- feedback control
- class of nonlinear systems
- control strategy
- risk sensitive
- reinforcement learning
- infinite horizon
- optimal control problems
- control law
- lyapunov function
- machine learning
- total cost
- brownian motion
- real time
- single item
- control scheme
- mathematical model
- particle swarm optimization