Function-approximation-based perfect control variates for pricing American options.
Nomesh BoliaSandeep JunejaPublished in: WSC (2005)
Keyphrases
- function approximation
- reinforcement learning
- radial basis function
- temporal difference
- control problems
- temporal difference learning algorithms
- temporal difference learning
- model free
- learning tasks
- control system
- option pricing
- control method
- function approximators
- principal components
- pattern recognition
- temporal difference methods
- control strategy
- optimal control
- adaptive control
- learning styles
- data mining