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math.OC2025
Policy Learning for Perturbance-wise Linear Quadratic Control Problem
Haoran Zhang, Wenhao Zhang, Xianping Wu
We study finite horizon linear quadratic control with additive noise in a perturbancewise framework that unifies the classical model, a constraint embedded affine policy class, and…
math.OC2025
Data-Driven Long-Term Asset Allocation with Tsallis Entropy Regularization
Haoran Zhang, Wenhao Zhang, Xianping Wu
This paper addresses the problem of dynamic asset allocation under uncertainty, which can be formulated as a linear quadratic (LQ) control problem with multiplicative noise. To han…