Počet záznamů: 1

Estimating of Bellman function via suboptimal strategies

  1. 1.
    0348383 - UTIA-B 2011 RIV TR eng C - Konferenční příspěvek (zahraniční konf.)
    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]
    Grant CEP: GA ČR GA102/08/0567; GA MŠk 1M0572
    Výzkumný záměr: CEZ:AV0Z10750506
    Klíčová slova: Bellman function * approaximated dynamic programming
    Kód oboru RIV: BC - Teorie a systémy řízení
    http://library.utia.cas.cz/separaty/2010/AS/zeman-estimating of bellman function via suboptimal strategies.pdf 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.
    Trvalý link: http://hdl.handle.net/11104/0188932