Ideal and non-ideal predictors in estimation of Bellman function

0368311 - ÚTIA 2012 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
Zeman, Jan
Ideal and non-ideal predictors in estimation of Bellman function.
The 2nd International Workshop od Decision Making with Multiple Imperfect Decision Makers. Held in Conjunction with the 25th Annual Conference on Neural Information Processing Systems (NIPS 2011). Prague: Institute of Information Theory and Automation, 2011, s. 87-93. ISBN 978-80-903834-6-3.
[The 2nd International Workshop od Decision Making with Multiple Imperfect Decision Makers. Held in Conjunction with the 25th Annual Conference on Neural Information Processing Systems (NIPS 2011). Sierra Nevada (ES), 16.12.2011-16.12.2011]
Grant CEP: GA MŠMT 1M0572; GA ČR GA102/08/0567
Výzkumný záměr: CEZ:AV0Z10750506
Klíčová slova: Bellman function * estimation * imperfect predictor * futures market data * predictors
Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum
http://library.utia.cas.cz/separaty/2011/AS/zeman-ideal and non-ideal predictors in estimation of bellman function.pdf

The paper considers estimation of Bellman function using revision of the past decisions. The original approach is further extended by employing predictions coming from an imperfect predictor. The resulting algorithm speeds up the convergence of Bellman function estimation and improves the results quality. The potential of the approach is demonstrated on a futures market data.
Trvalý link: http://hdl.handle.net/11104/0202692