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  • Search: subject:"Policy iteration"
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Year of publication
Subject
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policy iteration 7 Newton-Raphson method 4 k-step bootstrap 4 maximum pseudo-likelihood estimators 4 nested fixed point algorithm 4 Edgeworth expansion 3 Mathematical programming 2 Mathematische Optimierung 2 Optionspreistheorie 2 Suchtheorie 2 Theorie 2 duality 2 monetary utility functionals 2 optimal stopping 2 Algorithm 1 Algorithmus 1 Artificial intelligence 1 Bewertung 1 Dynamic programming 1 Dynamische Optimierung 1 Künstliche Intelligenz 1 Learning process 1 Lernprozess 1 Machine Learning and Data Science 1 Nutzenfunktion 1 Option pricing theory 1 Perturbed Markov decision process 1 Risiko 1 Search theory 1 Stochastic process 1 Stochastischer Prozess 1 Theory 1 Volatility 1 Volatilität 1 dynamic programming 1 energy storage 1 forecast error 1 gradient dominance 1 multi-factor stochastic volatility model with displacement 1 multidimensional Andersen scheme 1
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Online availability
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Free 9
Type of publication
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Book / Working Paper 7 Article 2
Type of publication (narrower categories)
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Working Paper 3 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Hochschulschrift 1 Non-commercial literature 1
Language
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English 7 Undetermined 2
Author
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Kasahara, Hiroyuki 4 Shimotsu, Katsumi 4 Krätschmer, Volker 2 Bhandari, Jalaj 1 Feng, Shuang 1 Huo, Yuchong 1 Jiang, Ping 1 Ladkau, Marcel 1 Russo, Daniel 1 Schoenmakers, John 1 Schoenmakers, John G. M. 1 Wu, Xi 1 Zhu, Yuan 1
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Institution
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Economics Department, Queen's University 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 University of Western Ontario, Department of Economics 1
Published in...
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Energies 1 Operations research 1 Queen's Economics Department Working Paper 1 Research Report 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 UWO Department of Economics Working Papers 1 Working Papers / Economics Department, Queen's University 1
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Source
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RePEc 4 EconStor 3 ECONIS (ZBW) 2
Showing 1 - 9 of 9
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Global optimality guarantees for policy gradient methods
Bhandari, Jalaj; Russo, Daniel - In: Operations research 72 (2024) 5, pp. 1906-1927
Persistent link: https://www.econbiz.de/10015361758
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Optimal Real-Time Scheduling of Wind Integrated Power System Presented with Storage and Wind Forecast Uncertainties
Huo, Yuchong; Jiang, Ping; Zhu, Yuan; Feng, Shuang; Wu, Xi - In: Energies 8 (2015) 2, pp. 1080-1100
economic dispatch problems presented by energy storage in wind integrated systems. A policy iteration algorithm for deriving …. First, energy loss and use of fast-ramping generation are selected as the performance metrics. Then, a policy iteration … the policy iteration algorithm in the short-term and long-term are verified and the consistency, robustness, good …
Persistent link: https://www.econbiz.de/10011152641
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Stochastic volatility Libor modeling and efficient algorithms for optimal stopping problems
Ladkau, Marcel - 2015
Persistent link: https://www.econbiz.de/10012385011
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Representations for optimal stopping under dynamic monetary utility functionals
Krätschmer, Volker; Schoenmakers, John G. M. - 2009
like policy iteration, dual and consumption based approaches are developed in the context of general dynamic monetary …
Persistent link: https://www.econbiz.de/10010276719
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Representations for optimal stopping under dynamic monetary utility functionals
Krätschmer, Volker; Schoenmakers, John - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
like policy iteration, dual and consumption based approaches are developed in the context of general dynamic monetary …
Persistent link: https://www.econbiz.de/10008527066
Saved in:
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Nested pseudo-likelihood estimation and bootstrap-based inference for structural discrete Markov decision models
Kasahara, Hiroyuki; Shimotsu, Katsumi - 2006
This paper analyzes the higher-order properties of nested pseudo-likelihood (NPL) estimators and their practical implementation for parametric discrete Markov decision models in which the probability distribution is defined as a fixed point. We propose a new NPL estimator that can achieve...
Persistent link: https://www.econbiz.de/10010292031
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Nested Pseudo-likelihood Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models
Kasahara, Hiroyuki; Shimotsu, Katsumi - 2006
This paper analyzes the higher-order properties of nested pseudo-likelihood (NPL) estimators and their practical implementation for parametric discrete Markov decision models in which the probability distribution is defined as a fixed point. We propose a new NPL estimator that can achieve...
Persistent link: https://www.econbiz.de/10011940681
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Nested Pseudo-likelihood Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models
Kasahara, Hiroyuki; Shimotsu, Katsumi - University of Western Ontario, Department of Economics - 2006
This paper analyzes the higher-order properties of nested pseudo-likelihood (NPL) estimators and their practical implementation for parametric discrete Markov decision models in which the probability distribution is defined as a fixed point. We propose a new NPL estimator that can achieve...
Persistent link: https://www.econbiz.de/10005515517
Saved in:
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Nested Pseudo-likelihood Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models
Kasahara, Hiroyuki; Shimotsu, Katsumi - Economics Department, Queen's University - 2006
This paper analyzes the higher-order properties of nested pseudo-likelihood (NPL) estimators and their practical implementation for parametric discrete Markov decision models in which the probability distribution is defined as a fixed point. We propose a new NPL estimator that can achieve...
Persistent link: https://www.econbiz.de/10005688568
Saved in:
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