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Optimal Switching with Constraints and Utility Maximization of an Indivisible Market.

Qingshuo SongGang George YinChao Zhu
Published in: SIAM J. Control. Optim. (2012)
Keyphrases
  • utility maximization
  • utility function
  • dynamic programming
  • double auction
  • sample path
  • decision making
  • optimal solution
  • multistage
  • combinatorial auctions
  • stochastic gradient