Abstract: In this article, we investigate the optimal control problem for an unknown linear time-invariant system. To solve this problem, a novel composite policy iteration algorithm based on adaptive ...
A Python high-frequency intraday trading engine for simulating the rolling intrinsic strategy on the European market, solved as a dynamic program. See our paper (tbd, Schaurecker & Wozabal et al.
Abstract: To address the challenge of rapidly tracking the new pareto optimal set (PS) after environmental changes in dynamic multi-objective optimization problems (DMOPs), this paper proposes a ...
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