A partitioning algorithm for Markov decision processes with applications to market microstructure
Year of publication: |
February 2018
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Authors: | Chen, Ningyuan ; Kou, Steven ; Wang, Chun |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 64.2018, 2, p. 784-803
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Subject: | Markov chains | large order execution | electricity trading/production | partitioning | quadratic stochastic programming | Theorie | Theory | Markov-Kette | Markov chain | Marktmikrostruktur | Market microstructure | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Wahrscheinlichkeitsrechnung | Probability theory |
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