114 search results - page 7 / 23 » Regression Methods for Stochastic Control Problems and Their... |
ORL
2008
13 years 7 months ago
2008
We propose a sample average approximation (SAA) method for stochastic programming problems involving an expected value constraint. Such problems arise, for example, in portfolio s...
CDC
2009
IEEE
13 years 5 months ago
2009
IEEE
Abstract-- The problem of finding the eigenvector corresponding to the largest eigenvalue of a stochastic matrix has numerous applications in ranking search results, multi-agent co...
CACM
2010
13 years 7 months ago
2010
We introduce and analyze a natural algorithm for multi-venue exploration from censored data, which is motivated by the Dark Pool Problem of modern quantitative finance. We prove t...
ICA
2012
Springer
12 years 3 months ago
2012
Springer
Independent component analysis (ICA) is possibly the most widespread approach to solve the blind source separation (BSS) problem. Many different algorithms have been proposed, tog...
ECAI
2010
Springer
13 years 8 months ago
2010
Springer
Abstract. We address the problem of continuous stochastic optimal control in the presence of hard obstacles. Due to the non-smooth character of the obstacles, the traditional appro...