output
20042026
most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing 2020 · cs.LGShow all

3 papers · 2 filters

cs.LG2020★ 31 cited

Reinforcement Learning for Variable Selection in a Branch and Bound Algorithm

Marc Etheve, Zacharie Alès, Côme Bissuel +2

Mixed integer linear programs are commonly solved by Branch and Bound algorithms. A key factor of the efficiency of the most successful commercial solvers is their fine-tuned heuri…

cs.LG2020★ 1 cited

Kalman Recursions Aggregated Online

Eric Adjakossa, Yannig Goude, Olivier Wintenberger

In this article, we aim at improving the prediction of expert aggregation by using the underlying properties of the models that provide expert predictions. We restrict ourselves to…

cs.LG2020

Discretization and Machine Learning Approximation of BSDEs with a Constraint on the Gains-Process

Idris Kharroubi, Thomas Lim, Xavier Warin

We study the approximation of backward stochastic differential equations (BSDEs for short) with a constraint on the gains process. We first discretize the constraint by applying a…