{"title":"消费-投资问题的q -学习方法","authors":"Ruy López-Ríos","doi":"10.5539/IJSP.V10N2P110","DOIUrl":null,"url":null,"abstract":"The paper deals with a discrete-time consumption investment problem with an infinite horizon. This problem is formulated as a Markov decision process with an expected total discounted utility as an objective function. This paper aims to presents a procedure to approximate the solution via machine learning, specifically, a Q-learning technique. The numerical results of the problem are provided.","PeriodicalId":89781,"journal":{"name":"International journal of statistics and probability","volume":" ","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2021-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A Q-learning Approach to a Consumption-Investment Problem\",\"authors\":\"Ruy López-Ríos\",\"doi\":\"10.5539/IJSP.V10N2P110\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The paper deals with a discrete-time consumption investment problem with an infinite horizon. This problem is formulated as a Markov decision process with an expected total discounted utility as an objective function. This paper aims to presents a procedure to approximate the solution via machine learning, specifically, a Q-learning technique. The numerical results of the problem are provided.\",\"PeriodicalId\":89781,\"journal\":{\"name\":\"International journal of statistics and probability\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-02-23\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International journal of statistics and probability\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.5539/IJSP.V10N2P110\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International journal of statistics and probability","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.5539/IJSP.V10N2P110","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
A Q-learning Approach to a Consumption-Investment Problem
The paper deals with a discrete-time consumption investment problem with an infinite horizon. This problem is formulated as a Markov decision process with an expected total discounted utility as an objective function. This paper aims to presents a procedure to approximate the solution via machine learning, specifically, a Q-learning technique. The numerical results of the problem are provided.
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