A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables.
Michel DenaultJean-Guy SimonatoLars StentoftPublished in: Comput. Oper. Res. (2013)
Keyphrases
- state variables
- stochastic dynamic
- state space
- dynamic systems
- partial least square regression
- random variables
- regression model
- simulation model
- gaussian processes
- mathematical model
- linear regression
- model selection
- support vector regression
- multi agent systems
- regression analysis
- reward function
- causal graph
- regression algorithm
- reinforcement learning
- machine learning