Ideal and non-ideal predictors in estimation of Bellman function
1.
SYSNO ASEP
0368311
Document Type
C - Proceedings Paper (int. conf.)
R&D Document Type
Conference Paper
Title
Ideal and non-ideal predictors in estimation of Bellman function
Author(s)
Zeman, Jan (UTIA-B)
Number of authors
1
Source Title
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
- ISBN 978-80-903834-6-3
Pages
s. 87-93
Number of pages
7 s.
Action
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)
Event date
16.12.2011-16.12.2011
VEvent location
Sierra Nevada
Country
ES - Spain
Event type
WRD
Language
eng - English
Country
CZ - Czech Republic
Keywords
Bellman function ; estimation ; imperfect predictor ; futures market data ; predictors
Subject RIV
BB - Applied Statistics, Operational Research
R&D Projects
1M0572 GA MŠMT - Ministry of Education, Youth and Sports (MEYS)
GA102/08/0567 GA ČR - Czech Science Foundation (CSF)
CEZ
AV0Z10750506 - UTIA-B (2005-2011)
Annotation
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.
