Optimal online algorithms for the portfolio selection problem, bi-directional trading and -search with interrelated prices.
Pascal SchroederImed KacemGünter SchmidtPublished in: RAIRO Oper. Res. (2019)
Keyphrases
- bi directional
- online algorithms
- competitive ratio
- worst case
- exhaustive search
- search algorithm
- online learning
- associative memory
- learning algorithm
- dynamic programming
- electricity markets
- lower bound
- asymptotically optimal
- linear space
- computational complexity
- upper bound
- single machine
- decision boundary
- long run
- optimal solution