Zobrazeno 1 - 10
of 56
pro vyhledávání: '"Benjamin Van Roy"'
Publikováno v:
Open Mind, Vol 8 (2024)
Externí odkaz:
https://doaj.org/article/11ef4f2d192a425fb48f22292cc9ae00
Reinforcement learning agents have demonstrated remarkable achievements in simulated environments. Data efficiency, however, significantly impedes carrying this success over to real environments. The design of data-efficient agents that address this
Autor:
Daniel Russo, Benjamin Van Roy
Publikováno v:
Operations Research. 66:230-252
We propose information-directed sampling -- a new approach to online optimization problems in which a decision-maker must balance between exploration and exploitation while learning from partial feedback. Each action is sampled in a manner that minim
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::67e1e084e95f653219705641bdd13c42
https://doi.org/10.1287/opre.2017.1663
https://doi.org/10.1287/opre.2017.1663
Autor:
Daniel Russo, Benjamin Van Roy
Much of the recent literature on bandit learning focuses on algorithms that aim to converge on an optimal action. One shortcoming is that this orientation does not account for time sensitivity, which can play a crucial role when learning an optimal a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::00fbcf3b80920efebd850a5a640dd4dd
Thompson sampling is an algorithm for online decision problems where actions are taken sequentially in a manner that must balance between exploiting what is known to maximize immediate performance and investing to accumulate new information that may
Autor:
Beomsoo Park, Benjamin Van Roy
Publikováno v:
Operations Research. 63:1058-1076
We consider a model in which a trader aims to maximize expected risk-adjusted profit while trading a single security. In our model, each price change is a linear combination of observed factors, impact resulting from the trader's current and prior ac
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7294a618da57507f90153a7dc00f9ecf
https://doi.org/10.1287/opre.2015.1415
https://doi.org/10.1287/opre.2015.1415
Autor:
Abbas Kazerouni, Benjamin Van Roy
Publikováno v:
SSRN Electronic Journal.
As a firm varies the price of a product, consumers exhibit reference effects, making purchase decisions based not only on the prevailing price but also the product's price history. We consider the problem of learning such behavioral patterns as a mon
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eeaeb663d822d822f7eeff7915fa9ab4
https://doi.org/10.2139/ssrn.3016807
https://doi.org/10.2139/ssrn.3016807
Autor:
Yi-Hao Kao, Benjamin Van Roy
Publikováno v:
Operations Research. 62:957-972
We consider a problem involving estimation of a high-dimensional covariance matrix that is the sum of a diagonal matrix and a low-rank matrix, and making a decision based on the resulting estimate. Such problems arise, for example, in portfolio manag
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9b77233add966e95ba75bec3dba2ec80
https://doi.org/10.1287/opre.2014.1290
https://doi.org/10.1287/opre.2014.1290
Autor:
Benjamin Van Roy, Michael Padilla
Publikováno v:
Management Science. 58:1747-1760
As much as 12%% of the daily volume on the New York Stock Exchange, and similar volumes on other major world exchanges, involves sales by institutional investors to brokers through blind portfolio auctions. Such transactions typically take the form o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c7fcf0463a029b16e2b12e583a9ade7c