Search Results - subject:"value function"

How active is active learning : value function method vs an approximation method

Amman, Hans M.; Tucci, Marco Paolo - 2018

Persistent link: https://www.econbiz.de/10011921036

Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence

Tian, Yingxu; Sun, Zhongyang - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-12

) equation, we derive the closed-form expressions for the value function, as well as the optimal strategy. Moreover, under …

Persistent link: https://www.econbiz.de/10012611013

How to solve dynamic stochastic models computing expectations just once

Judd, Kenneth L.; Maliar, Lilia; Maliar, Serguei; … - In: Quantitative economics : QE ; journal of the … 8 (2017) 3, pp. 851-893

We introduce a computational technique- precomputation of integrals - that makes it possible to construct conditional expectation functions in dynamic stochastic models in the initial stage of a solution procedure. This technique is very general: it works for a broad class of approximating...

Persistent link: https://www.econbiz.de/10011801654

The DUAL approach in an infinite horizon model

Amman, Hans M.; Tucci, Marco Paolo - 2017

Persistent link: https://www.econbiz.de/10011853036

Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with hetereogenous dependent errors

Coudin, Elise; Dufour, Jean-Marie - 2017

Persistent link: https://www.econbiz.de/10011610097

How to solve dynamic stochastic models computing expectations just once

Judd, Kenneth L.; Maliar, Lilia; Maliar, Serguei; … - In: Quantitative Economics 8 (2017) 3, pp. 851-893

Persistent link: https://www.econbiz.de/10011995505

A Gilmore-Gomory construction of integer programming value functions

Brown, Seth; Zhang, Wenxin; Ajayi, Temitayo; Schaefer, … - In: Operations research letters 49 (2021) 4, pp. 522-529

Persistent link: https://www.econbiz.de/10012649024

Data-driven preference learning methods for value-driven multiple criteria sorting with interacting criteria

Liu, Jiapeng; Kadziński, Miłosz; Liao, Xiuwu; Mao, Xiaoxin - In: INFORMS journal on computing : JOC 33 (2021) 2, pp. 586-606

Persistent link: https://www.econbiz.de/10012546132

Points gained in football : using Markov process-based value functions to assess team performance

Chan, Timothy C. Y.; Fernandes, Craig; Puteman, Martin L. - In: Operations research 69 (2021) 3, pp. 877-894

Persistent link: https://www.econbiz.de/10012546896

A value function-based approach for robust surgery planning

Bansal, Ankit; Berg, Bjorn P.; Huang, Yu-Li - In: Computers & operations research : and their … 132 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012595739