A consumption-investment problem modelled as a discounted Markov decision process.
Hugo Cruz-SuárezRaúl Montes-de-OcaGabriel Zacarías-EspinozaPublished in: Kybernetika (2011)
Keyphrases
- markov decision process
- infinite horizon
- long run
- markov decision processes
- optimal policy
- state space
- finite horizon
- reinforcement learning
- decision making
- policy iteration
- initial state
- transition matrices
- stationary policies
- average cost
- transition probabilities
- dynamic programming
- cash flow
- real option
- reinforcement learning algorithms
- action space
- partially observable
- data mining
- decision problems
- machine learning