Search Results - subject:"Stochastic Approximation"

Contemplation vs. intuition : a reinforcement learning perspective

Cho, In-Koo; Rubinchik-Pessach, Anna - In: EURO Journal on decision processes 5 (2017) 1/4, pp. 141-167

Persistent link: https://www.econbiz.de/10011777829

Optimal resource capacity management for stochastic networks

Dieker, A. B.; Ghosh, S.; Squillante, M. S. - In: Operations research 65 (2017) 1, pp. 221-241

Persistent link: https://www.econbiz.de/10011649041

Stochastic first order methods in smooth convex optimization

DEVOLDER, Olivier - Center for Operations Research and Econometrics (CORE), … - 2011

In this paper, we are interested in the development of efficient first-order methods for convex optimization problems in the simultaneous presence of smoothness of the objective function and stochasticity in the first-order information. First, we consider the Stochastic Primal Gradient method,...

Persistent link: https://www.econbiz.de/10010927678

Pooling, Pricing and Trading of Risks

Flåm, Sjur Didrik - Institutt for Økonomi, Universitetet i Bergen - 2011

exchange, supergradients, stochastic approximation. 1. Introduction In a seminal paper Borch [4] considered risks as … reinsurance market, ASTIN Bulletin 12, 57-71 (1981). [3] M. Benaim, A dynamical system approach to stochastic approximation, SIAM …

Persistent link: https://www.econbiz.de/10008925671

Efficient pricing of high-dimensional American-style derivatives : a robust regression Monte Carlo method

Jonen, Christian - 2011

Persistent link: https://www.econbiz.de/10010204985

An adjusted payoff-based procedure for normal form games

Bravo, Mario - In: Mathematics of operations research 41 (2016) 4, pp. 1469-1483

Persistent link: https://www.econbiz.de/10011595104

CVaR hedging using quantization-based stochastic approximation algorithm

Bardou, O.; Frikha, N.; Pagès, Gilles - In: Mathematical finance : an international journal of … 26 (2016) 1, pp. 184-229

Persistent link: https://www.econbiz.de/10011550286

High-frequency trading meets online learning

Fernandez-Tapia, Joaquin - In: Market microstructure and liquidity 2 (2016) 1, pp. 1-40

Persistent link: https://www.econbiz.de/10011588235

Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning

Christopeit, Norbert; Massmann, Michael - 2010

estimation of the parameters in an auxiliary model. The learning scheme employed by the agents belongs to the class of stochastic … approximation algorithms whose gain sequence is decreasing to zero. Our focus is on the estimation of the parameters in the …

Persistent link: https://www.econbiz.de/10010325749

Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning

Christopeit, Norbert; Massmann, Michael - Tinbergen Instituut - 2010

Persistent link: https://www.econbiz.de/10011256878