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20152025
most citedModel-based Deep Reinforcement Learning for Dynamic Portfolio Optimization

63 citations · 97 across the 21 of their papers we have counts for

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2 papers · 1 filter

math.OC2015★ 2 cited

Central-limit approach to risk-aware Markov decision processes

Pengqian Yu, Jia Yuan Yu, Huan Xu

Whereas classical Markov decision processes maximize the expected reward, we consider minimizing the risk. We propose to evaluate the risk associated to a given policy over a long-…

eess.SY2015★ 4 cited

Distributionally Robust Counterpart in Markov Decision Processes

Pengqian Yu, Huan Xu

This paper studies Markov Decision Processes under parameter uncertainty. We adapt the distributionally robust optimization framework, and assume that the uncertain parameters are…