DocumentCode
3181535
Title
Estimating of Bellman function via suboptimal strategies
Author
Zeman, Jan
Author_Institution
Inst. of Inf. Theor. & Autom., Acad. of Sci. of the Czech Republic, Prague, Czech Republic
fYear
2010
fDate
10-13 Oct. 2010
Firstpage
2406
Lastpage
2413
Abstract
The paper concerns approximate dynamic decision making. It deals with solving Bellman equation to obtain the Bellman function via so-called suboptimal strategies. The sub-optimal 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.
Keywords
approximation theory; decision making; decision theory; dynamic programming; Bellman function estimation; algebraic equations; approximate dynamic decision making; suboptimal strategy; Equations; Mathematical model; Silicon; Uncertainty; Bellman function; dynamic decision making; optimization;
fLanguage
English
Publisher
ieee
Conference_Titel
Systems Man and Cybernetics (SMC), 2010 IEEE International Conference on
Conference_Location
Istanbul
ISSN
1062-922X
Print_ISBN
978-1-4244-6586-6
Type
conf
DOI
10.1109/ICSMC.2010.5641952
Filename
5641952
Link To Document