Hedging the drift : learning to optimize under nonstationarity

Wang Chi Cheung, David Simchi-Levi, Ruihao Zhu

Year of publication:	2022
Authors:	Cheung, Wang Chi ; Simchi-Levi, David ; Zhu, Ruihao
Published in:	Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 68.2022, 3, p. 1696-1713
Subject:	data-driven decision-making \| non-stationary bandit optimization \| parameter-free algorithms \| Hedging \| Theorie \| Theory \| Mathematische Optimierung \| Mathematical programming \| Lernprozess \| Learning process \| Algorithmus \| Algorithm \| Entscheidung \| Decision \| Stochastischer Prozess \| Stochastic process \| Portfolio-Management \| Portfolio selection

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