Zobrazeno 1 - 10
of 94
pro vyhledávání: '"Jia, Guangyan"'
Autor:
Sun, Zhongshi, Jia, Guangyan
This article studies inverse reinforcement learning (IRL) for the stochastic linear-quadratic optimal control problem, where two agents are considered. A learner agent does not know the expert agent's performance cost function, but it imitates the be
Externí odkaz:
http://arxiv.org/abs/2405.17085
Autor:
Zhang, Xinpei, Jia, Guangyan
With the outstanding performance of policy gradient (PG) method in the reinforcement learning field, the convergence theory of it has aroused more and more interest recently. Meanwhile, the significant importance and abundant theoretical researches m
Externí odkaz:
http://arxiv.org/abs/2404.11382
Autor:
Sun, Zhongshi, Jia, Guangyan
In this article, we study a continuous-time stochastic $H_\infty$ control problem based on reinforcement learning (RL) techniques that can be viewed as solving a stochastic linear-quadratic two-person zero-sum differential game (LQZSG). First, we pro
Externí odkaz:
http://arxiv.org/abs/2402.04721
On the Correspondence and the Risk Contribution for Conditional Coherent and Deviation Risk Measures
Autor:
Jia, Guangyan, Zhao, Mengjin
We give an axiomatic framework for conditional generalized deviation measures. Under financially reasonable assumptions, we give the correspondence between conditional coherent risk measures and generalized deviation measures. Moreover, we establish
Externí odkaz:
http://arxiv.org/abs/2208.13336
Autor:
Zhang, Suyue, Sun, Zhen, Li, Yajuan, Du, Xinjian, Qian, Kun, Yang, Le, Jia, Guangyan, Yin, Jiye, Liao, Sha, Zhou, Zhe
Publikováno v:
In Biomedicine & Pharmacotherapy November 2024 180
Publikováno v:
In Ocean Engineering 1 April 2024 297
In this paper, we study general monetary risk measures (without any convexity or weak convexity). A monetary (respectively, positively homogeneous) risk measure can be characterized as the lower envelope of a family of convex (respectively, coherent)
Externí odkaz:
http://arxiv.org/abs/2012.06751
Autor:
Zhao, Mengjin, Jia, Guangyan
To achieve robustness of risk across different assets, risk parity investing rules, a particular state of risk contributions, have grown in popularity over the previous few decades. To generalize the concept of risk contribution from the simple covar
Externí odkaz:
http://arxiv.org/abs/2011.10747
Akademický článek
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Autor:
Sun, Zhongshi, Jia, Guangyan
Publikováno v:
In Applied Mathematics and Computation 1 April 2023 442