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NIPS
2008
15 years 6 months ago
Adapting to a Market Shock: Optimal Sequential Market-Making
We study the profit-maximization problem of a monopolistic market-maker who sets two-sided prices in an asset market. The sequential decision problem is hard to solve because the ...
Sanmay Das, Malik Magdon-Ismail
DAGSTUHL
2004
15 years 6 months ago
On the Complexity of Parabolic Initial Value Problems with Variable Drift
We study the intrinsic difficulty of solving linear parabolic initial value problems numerically at a single point. We present a worst case analysis for deterministic as well as fo...
Knut Petras, Klaus Ritter
146
Voted
ESANN
2004
15 years 6 months ago
Sparse Bayesian kernel logistic regression
In this paper we present a simple hierarchical Bayesian treatment of the sparse kernel logistic regression (KLR) model based MacKay's evidence approximation. The model is re-p...
Gavin C. Cawley, Nicola L. C. Talbot
119
Voted
IJIT
2004
15 years 6 months ago
Learning of Class Membership Values by Ellipsoidal Decision Regions
A novel method of learning complex fuzzy decision regions in the n-dimensional feature space is proposed. Through the fuzzy decision regions, a given pattern's class membershi...
Leehter Yao, Chin-chin Lin
IJCAI
2001
15 years 6 months ago
Solving Factored MDPs via Non-Homogeneous Partitioning
This paper describes an algorithm for solving large state-space MDPs (represented as factored MDPs) using search by successive refinement in the space of non-homogeneous partition...
Kee-Eung Kim, Thomas Dean