Risk-sensitive asset management simulation in Matlab.
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Updated
Nov 8, 2015 - MATLAB
Risk-sensitive asset management simulation in Matlab.
Linear Dynamic Systems with Unknown Parameters
The programs written over the summer of 2021 while working for the University of Delaware's Information and Decision Sciences (IDS) Lab. For more information about the lab and its other projects, please visit https://sites.udel.edu/ids-lab/ . This repository and README will be updated somewhat reguarly as progress is made on these projects.
Code for the paper {Pang, Bo, and Zhong-Ping Jiang. "Reinforcement Learning for Adaptive Optimal Stationary Control of Linear Stochastic Systems." arXiv preprint arXiv:2107.07788 (2021)."}
Control + Bellman equation to find arbitrage strategies in Constant Product Market with constant fees
Paper: Challenges in High-dimensional Reinforcement Learning with Evolution Strategies
This repository contains classwork and practice examples based on Model Predictive Control. Robust and Stochastic control methods applied to and studied for linear/non-linear plants.
Code for thesis project on applying reinforcement learning to algorithmic trading
Bellman Equation, Pontryagin Maximum Principle, and Deep Learning to solve stochastic control problems
Repository for inference method for stochastic processes through geometric path augmentation
En este repositorio pueden encontrarse los códigos utilizados para realizar el trabajo de tesis de maestría.
HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)
This code can be used to reproduce the results in our paper ``A Control Approach for Nonlinear Stochastic State Uncertain Systems with Probabilistic Safety Guarantees''.
This code can be used to reproduce the results in our paper ``Linearizing uncertainties that matter for control: the Koopman operator in the dual control context''.
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