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10/01/2022
Primal-dual regression approach for Markov decision processes with general state and action space
We develop a regression based primal-dual martingale approach for solvin...
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11/24/2020
Reinforced optimal control
Least squares Monte Carlo methods are a popular numerical approximation ...
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02/03/2020
Randomized optimal stopping algorithms and their convergence analysis
In this paper we study randomized optimal stopping problems and consider...
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08/07/2018