Regime-switching recurrent reinforcement learning for investment decision making

DOI10.1007/S10287-011-0131-1zbMath1273.91427OpenAlexW2018964251MaRDI QIDQ373176

Tikesh Ramtohul, Dietmar G. Maringer

Publication date: 21 October 2013

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: http://doc.rero.ch/record/321803/files/10287_2011_Article_131.pdf

zbMATH Keywords

investment problemsregime-switching recurrent reinforcement learning model

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Stochastic programming (90C15) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (2)

What is the value of the cross-sectional approach to deep reinforcement learning? ⋮ A general stochastic maximum principle for mean-field controls with regime switching

Cites Work

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• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• Some Asymptotic Results for Learning in Single Hidden-Layer Feedforward Network Models

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