Number of the records: 1
Estimating of Bellman function via suboptimal strategies
- 1.0348383 - ÚTIA 2011 RIV TR eng C - Conference Paper (international conference)
Zeman, Jan
Estimating of Bellman function via suboptimal strategies.
IEEE International Conference on Systems, Man, and Cybernetics 2010. Istambul: IEEE, 2010, s. 1-8. ISBN 978-1-4244-6587-3. ISSN 1062-922X.
[2010 IEEE International Conference on Systems, Man, and Cybernetics. Istanbul (TR), 10.10.2010-13.10.2010]
R&D Projects: GA ČR GA102/08/0567; GA MŠMT 1M0572
Institutional research plan: CEZ:AV0Z10750506
Keywords : Bellman function * approaximated dynamic programming
Subject RIV: BC - Control Systems Theory
http://library.utia.cas.cz/separaty/2010/AS/zeman-estimating of bellman function via suboptimal strategies.pdf
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.
Permanent Link: http://hdl.handle.net/11104/0188932
Number of the records: 1