Fundamentals of speech recognition
Fundamentals of speech recognition
Dynamic Programming and Optimal Control
Dynamic Programming and Optimal Control
Introduction to Reinforcement Learning
Introduction to Reinforcement Learning
Neuro-Dynamic Programming
Computing the K Shortest Paths: A New Algorithm and an Experimental Comparison
WAE '99 Proceedings of the 3rd International Workshop on Algorithm Engineering
Extensions to metric based model selection
The Journal of Machine Learning Research
Kernel Methods for Pattern Analysis
Kernel Methods for Pattern Analysis
Handbook of Learning and Approximate Dynamic Programming (IEEE Press Series on Computational Intelligence)
Relating reinforcement learning performance to classification performance
ICML '05 Proceedings of the 22nd international conference on Machine learning
Learning to trade via direct reinforcement
IEEE Transactions on Neural Networks
Cost functions and model combination for VaR-based asset allocation using neural networks
IEEE Transactions on Neural Networks
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We describe a general method to transform a non-markovian sequential decision problem into a supervised learning problem using a K-best-paths algorithm. We consider an application in financial portfolio management where we can train a controller to directly optimize a Sharpe Ratio (or other risk-averse non-additive) utility function. We illustrate the approach by demonstrating experimental results using a kernel-based controller architecture that would not normally be considered in traditional reinforcement learning or approximate dynamic programming.