A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure.
Ningyuan ChenSteven KouChun WangPublished in: Manag. Sci. (2018)
Keyphrases
- markov decision processes
- partitioning algorithm
- optimal policy
- graph partitioning
- finite state
- state space
- reinforcement learning
- dynamic programming
- transition matrices
- policy iteration
- model based reinforcement learning
- planning under uncertainty
- decision theoretic planning
- reachability analysis
- action space
- infinite horizon
- finite horizon
- action sets
- partially observable
- real time dynamic programming
- clustering algorithm
- data clustering
- markov chain
- markov decision process
- average cost
- average reward
- unsupervised learning
- risk sensitive
- input image
- state and action spaces
- hidden markov models
- multiscale
- computer vision
- learning algorithm