Nonparametric learning for impulse control problems -- exploration vs. exploitation
DOI10.1214/22-aap1849arXiv1909.09528OpenAlexW4353080926MaRDI QIDQ6104004
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Publication date: 5 June 2023
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1909.09528
diffusion processesreinforcement learningnonparametric statisticsstochastic impulse controloptimal harvesting problemexploration vs. exploitationFaustmann problem
Markov processes: estimation; hidden Markov models (62M05) Learning and adaptive systems in artificial intelligence (68T05) Optimal stochastic control (93E20) Diffusion processes (60J60)
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