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eess.SY2026
On-Line Policy Iteration with Trajectory-Driven Policy Generation
Yuchao Li, Fei Chen, Yingke Li +2
We consider deterministic finite-horizon optimal control problems with a fixed initial state. We introduce an on-line policy iteration method, which, starting from a given policy,…
q-fin.TR2026
Model Predictive Control For Trade Execution
Thomas P. McAuliffe, Samuel Liew, Yuchao Li +7
We address the problem of executing large client orders in continuous double-auction markets under time and liquidity constraints. We propose a model predictive control (MPC) frame…