Approximate Dynamic Programming—ii: Algorithms
نویسندگان
چکیده
• Option Pricing. An American option allows us to buy or sell an asset at any time up to a specified time, where we make money when the price goes under or over (respectively) a set strike price. Valuing the option requires finding an optimal policy for determining when to exercise the option. • Playing Games. Computer algorithms have been designed to play backgammon, bridge, chess, and recently, the Chinese game of Go. • Controlling a Device. This might be a robot or unmanned aerial vehicle, but there is a need for autonomous devices to manage themselves for tasks ranging from vacuuming the floor to collecting information about terrorists. • Storage of Continuous Resources. Managing the cash balance for a mutual fund or the amount of water in a reservoir used for a hydroelectric dam requires managing a continuous resource over time in the presence of stochastic information on parameters such as prices and rainfall.
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