Abstract: In this article, we investigate the optimal control problem for an unknown linear time-invariant system. To solve this problem, a novel composite policy iteration algorithm based on adaptive ...

A Python high-frequency intraday trading engine for simulating the rolling intrinsic strategy on the European market, solved as a dynamic program. See our paper (tbd, Schaurecker & Wozabal et al.

Abstract: This paper presents the bias-policy iteration, a modified adaptive dynamic programming method, to achieve optimal control design of discrete-time nonlinear systems. Firstly, the formulation ...