2 citations · 3 across the 2 of their papers we have counts for
3 papers
math.OC2021★ 1 cited
Effective Algorithms for Optimal Portfolio Deleveraging Problem with Cross Impact
Hezhi Luo, Yuanyuan Chen, Xianye Zhang +2
We investigate the optimal portfolio deleveraging (OPD) problem with permanent and temporary price impacts, where the objective is to maximize equity while meeting a prescribed deb…
math.OC2020
Scenario-decomposition Solution Framework for Nonseparable Stochastic Control Problems
Xin Huang, Duan Li, Daniel Zhuoyu Long
When stochastic control problems do not possess separability and/or monotonicity, the dynamic programming pioneered by Bellman in 1950s fails to work as a time-decomposition soluti…
eess.SY2019★ 2 cited
Revised Progressive-Hedging-Algorithm Based Two-layer Solution Scheme for Bayesian Reinforcement Learning
Xin Huang, Duan Li, Daniel Zhuoyu Long
Stochastic control with both inherent random system noise and lack of knowledge on system parameters constitutes the core and fundamental topic in reinforcement learning (RL), espe…