APPLICATION OF SIMULATION AND NEURODYNAMIC PROGRAMMING TO OPTIMAL PORTFOLIO SELECTION

机译：模拟和神经动力学程序设计在最优组合选择中的应用

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The article is devoted to the application of simulation to optimal control generation process for systems without given mathematical models of their dynamics. We show an algorithm, called Q-learning, introduced in the last decade and still intensively being developed. With this algorithm, it is possible to calculate optimal control policy on the basis of simulation. Some results of a successful attempt of the application of Q-learning algorithm in the area of economy (optimization of investing strategy at Warsaw Stock Exchange) are also presented.

机译：本文致力于将仿真应用于没有给定动力学模型的系统的最优控制生成过程。我们展示了一种称为Q学习的算法，该算法在最近的十年中推出，并且仍在不断开发中。使用该算法，可以在仿真的基础上计算最佳控制策略。还介绍了在经济领域成功应用Q学习算法（在华沙证券交易所优化投资策略）的一些结果。

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来源
《17th Anniversary of the International Simulatros Conference, Apr 16-20, 2000, Washington, D.C.》|2000年|p.203-207|共5页
会议地点 Washington DC(US);Washington DC(US)
作者
Andrzej Karbowski; Jaroslaw Chrobak;
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作者单位

Institute of Control and Computation Engineering Warsaw University of Technology ul. Nowowiejska 15/19, 00-665 Warsaw, Poland;

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会议组织
原文格式 PDF
正文语种 eng
中图分类农业经济;
关键词
real-time simulation; time-series analysis; markov-chain models; econometric models; financial planning;

机译：实时仿真时间序列分析；马尔可夫链模型;计量经济模型金融计划;

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APPLICATION OF SIMULATION AND NEURODYNAMIC PROGRAMMING TO OPTIMAL PORTFOLIO SELECTION

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