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23 mars 2020
- doi: 10.58079/ovey
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info:eu-repo/semantics/reference/issn/2262-6891
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Arthur Charpentier, « Reinforcement Learning in Economics and Finance », Freakonometrics, ID : 10.58079/ovey
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With Romuald Elie and Carl Remlinger we recently uploaded on ArXiv a paper on Reinforcement Learning in Economics and Finance Reinforcement learning algorithms describe how an agent can learn an optimal action policy in a sequential decision process, through repeated experience. In a given environment, the agent policy provides him some running and terminal rewards. As in online learning, the agent learns sequentially. As in multi-armed bandit problems, when an agent picks an action, he can ...