Exploratory Control with Tsallis Entropy for Latent Factor Models

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-02-05 DOI:10.1137/22m153505x

Ryan Donnelly, Sebastian Jaimungal

引用次数: 0

Abstract

SIAM Journal on Financial Mathematics, Volume 15, Issue 1, Page 26-53, March 2024.
Abstract. We study optimal control in models with latent factors where the agent controls the distribution over actions, rather than actions themselves, in both discrete and continuous time. To encourage exploration of the state space, we reward exploration with Tsallis entropy and derive the optimal distribution over states—which we prove is [math]-Gaussian distributed with location characterized through the solution of an BS[math]E and BSDE in discrete and continuous time, respectively. We discuss the relation between the solutions of the optimal exploration problems and the standard dynamic optimal control solution. Finally, we develop the optimal policy in a model-agnostic setting along the lines of soft [math]-learning. The approach may be applied in, e.g., developing more robust statistical arbitrage trading strategies.

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用查利斯熵对潜在因素模型进行探索性控制

SIAM 金融数学期刊》，第 15 卷第 1 期，第 26-53 页，2024 年 3 月。摘要。我们研究了具有潜在因素的模型中的最优控制，其中代理控制的是离散时间和连续时间中的行动分布，而不是行动本身。为了鼓励探索状态空间，我们用 Tsallis 熵奖励探索，并推导出状态的最优分布--我们证明它是高斯分布，其位置分别通过离散和连续时间的 BS[math]E 和 BSDE 的解来表征。我们讨论了最优探索问题的解与标准动态最优控制解之间的关系。最后，我们按照软[数学]学习的思路，在与模型无关的环境中制定最优策略。这种方法可用于开发更稳健的统计套利交易策略等。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.