Bibliography

Conference Paper (international conference)

Estimating of Bellman function via suboptimal strategies

Zeman Jan

: IEEE International Conference on Systems, Man, and Cybernetics 2010, p. 1-8

: 2010 IEEE International Conference on Systems, Man, and Cybernetics, (Istanbul, TR, 10.10.2010-13.10.2010)

: CEZ:AV0Z10750506

: GA102/08/0567, GA ČR, 1M0572, GA MŠk

: Bellman function, approaximated dynamic programming

: 10.1109/ICSMC.2010.5641952

: http://library.utia.cas.cz/separaty/2010/AS/zeman-estimating of bellman function via suboptimal strategies.pdf

(eng): The paper concerns approximate dynamic decision making. It deals with solving Bellman equation to obtain the Bellman function via so-called suboptimal strategies. The suboptimal strategies are strategies reflecting the revision of the realized past decisions. The revision is conditioned on availability of future knowledge. Suboptimal strategies help to transform the estimation of Bellman function to solving system of algebraic equations, when parametrized form of Bellman function is used. The presented approach is applied to futures trading task.

: BC