Dynamic programming algorithms are developed for optimal capital allocation subject to budget constraints. We extend the work of Weingartner [17] and Weingartner and Ness [19] by including multilevel ...

Bio-inspired computational methods have gained popularity recently. These methods mimic the seemingly complex behavior of ...

This paper investigates conditions under which stochastic dynamic programs easily reduce to static deterministic programs. The conditions, though strict, are still rich enough to aid in the solution ...

This course covers reinforcement learning aka dynamic programming, which is a modeling principle capturing dynamic environments and stochastic nature of events. The main goal is to learn dynamic ...

This paper proposes a new deep-learning-based algorithm for high-dimensional Bermudan option pricing. To the best of our knowledge, this is the first study of the arbitrary-order discretization scheme ...