13 citations · 21 across the 3 of their papers we have counts for
3 papers
Approximate Dynamic Programming via a Smoothed Linear Program
V. V. Desai, V. F. Farias, C. C. Moallemi
We present a novel linear program for the approximation of the dynamic programming cost-to-go function in high-dimensional stochastic control problems. LP approaches to approximate…
Strategic Execution in the Presence of an Uninformed Arbitrageur
Ciamac C. Moallemi, Beomsoo Park, Benjamin Van Roy
We consider a trader who aims to liquidate a large position in the presence of an arbitrageur who hopes to profit from the trader's activity. The arbitrageur is uncertain about the…
Universal Reinforcement Learning
Vivek F. Farias, Ciamac C. Moallemi, Tsachy Weissman +1
We consider an agent interacting with an unmodeled environment. At each time, the agent makes an observation, takes an action, and incurs a cost. Its actions can influence future o…