4 papers
Branches: Efficiently Seeking Optimal Sparse Decision Trees with AO*
Ayman Chaouki, Jesse Read, Albert Bifet
Decision Tree (DT) Learning is a fundamental problem in Interpretable Machine Learning, yet it poses a formidable optimisation challenge. Practical algorithms have recently emerged…
Online Learning of Decision Trees with Thompson Sampling
Ayman Chaouki, Jesse Read, Albert Bifet
Decision Trees are prominent prediction models for interpretable Machine Learning. They have been thoroughly researched, mostly in the batch setting with a fixed labelled dataset,…
Deep Deterministic Portfolio Optimization
Ayman Chaouki, Stephen Hardiman, Christian Schmidt +2
Can deep reinforcement learning algorithms be exploited as solvers for optimal trading strategies? The aim of this work is to test reinforcement learning algorithms on conceptually…
Equations and Shape of the Optimal Band Strategy
Joachim de Lataillade, Ayman Chaouki
We consider the problem of the optimal trading strategy in the presence of a price predictor, linear trading costs and a quadratic risk control. The solution is known to be a band…