Risk-Sensitive Compact Decision Trees for Autonomous Execution in Presence of Simulated Market Response.
Svitlana VyetrenkoShaojie XuPublished in: CoRR (2019)
Keyphrases
- risk sensitive
- decision trees
- risk neutral
- optimal control
- utility function
- markov decision processes
- model free
- markov decision chains
- optimality criterion
- decision theoretic
- machine learning
- expected utility
- average cost
- data mining
- decision theory
- decision makers
- objective function
- risk aversion
- reinforcement learning
- decision making