Optimising dividends and consumption under an exponential CIR as a discount factor.
Julia EisenbergYuliya MishuraPublished in: Math. Methods Oper. Res. (2020)
Keyphrases
- discount factor
- markov decision processes
- optimal policy
- learning rate
- markov decision problems
- partially observable
- average reward
- infinite horizon
- reinforcement learning
- state space
- finite state
- long run
- dynamic programming
- convergence rate
- decision problems
- learning algorithm
- multistage
- policy iteration
- dynamical systems
- optimal control
- sufficient conditions
- multi agent
- objective function