15 citations · 28 across the 5 of their papers we have counts for
5 papers
ST-MLP: A Cascaded Spatio-Temporal Linear Framework with Channel-Independence Strategy for Traffic Forecasting
Zepu Wang, Yuqi Nie, Peng Sun +3
The criticality of prompt and precise traffic forecasting in optimizing traffic flow management in Intelligent Transportation Systems (ITS) has drawn substantial scholarly focus. S…
Optimal Portfolio Execution in a Regime-switching Market with Non-linear Impact Costs: Combining Dynamic Program and Neural Network
Xiaoyue Li, John M. Mulvey
Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditio…
Solving Multi-Period Financial Planning Models: Combining Monte Carlo Tree Search and Neural Networks
Afşar Onat Aydınhan, Xiaoyue Li, John M. Mulvey
This paper introduces the MCTS algorithm to the financial world and focuses on solving significant multi-period financial planning models by combining a Monte Carlo Tree Search alg…
Multi-Period Portfolio Optimization using Model Predictive Control with Mean-Variance and Risk Parity Frameworks
Xiaoyue Li, A. Sinem Uysal, John M. Mulvey
We employ model predictive control for a multi-period portfolio optimization problem. In addition to the mean-variance objective, we construct a portfolio whose allocation is given…
MUSBO: Model-based Uncertainty Regularized and Sample Efficient Batch Optimization for Deployment Constrained Reinforcement Learning
DiJia Su, Jason D. Lee, John M. Mulvey +1
In many contemporary applications such as healthcare, finance, robotics, and recommendation systems, continuous deployment of new policies for data collection and online learning i…