A New Learning Algorithm for Optimal Stopping
نویسندگان
چکیده
A linear programming formulation of the optimal stopping problem for Markov decision processes is approximated using linear function approximation. Using this formulation, a reinforcement learning scheme based on a primal-dual method and incorporating a sampling device called ‘split sampling’ is proposed and analyzed. An illustrative example from option pricing is also included.
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عنوان ژورنال:
- Discrete Event Dynamic Systems
دوره 19 شماره
صفحات -
تاریخ انتشار 2009