相关论文: Hedging of Financial Derivative Contracts via Mont…

We propose a planning-based method to teach an agent to manage portfolio from scratch. Our approach combines deep reinforcement learning techniques with search techniques like AlphaGo. By uniting the advantages in A* search algorithm with…

This paper examines replication portfolio construction in incomplete markets - a key problem in financial engineering with applications in pricing, hedging, balance sheet management, and energy storage planning. We model this as a…

Finite-horizon lookahead policies are abundantly used in Reinforcement Learning and demonstrate impressive empirical success. Usually, the lookahead policies are implemented with specific planning methods such as Monte Carlo Tree Search…

Monte Carlo Tree Search is a popular method for solving decision making problems. Faster implementations allow for more simulations within the same wall clock time, directly improving search performance. To this end, we present an…

In this article we propose a heuristic algorithm to explore search space trees associated with instances of combinatorial optimization problems. The algorithm is based on Monte Carlo tree search, a popular algorithm in game playing that is…

Monte Carlo Tree Search (MCTS) is a powerful approach to designing game-playing bots or solving sequential decision problems. The method relies on intelligent tree search that balances exploration and exploitation. MCTS performs random…

Monte Carlo Tree Search (MCTS) is a branch of stochastic modeling that utilizes decision trees for optimization, mostly applied to artificial intelligence (AI) game players. This project imagines a game in which an AI player searches for a…

Maneuver decision-making can be regarded as a Markov decision process and can be address by reinforcement learning. However, original reinforcement learning algorithms can hardly solve the maneuvering decision-making problem. One reason is…

In recent years there has been much interest in the Monte Carlo tree search algorithm, a new, adaptive, randomized optimization algorithm. In fields as diverse as Artificial Intelligence, Operations Research, and High Energy Physics,…

We consider the popular tree-based search strategy within the framework of reinforcement learning, the Monte Carlo Tree Search (MCTS), in the context of finite-horizon Markov decision process. We propose a dynamic sampling tree policy that…

Recent advances in bandit tools and techniques for sequential learning are steadily enabling new applications and are promising the resolution of a range of challenging related problems. We study the game tree search problem, where the goal…

Monte Carlo Tree Search (MCTS), most famously used in game-play artificial intelligence (e.g., the game of Go), is a well-known strategy for constructing approximate solutions to sequential decision problems. Its primary innovation is the…

AlphaZero, using a combination of Deep Neural Networks and Monte Carlo Tree Search (MCTS), has successfully trained reinforcement learning agents in a tabula-rasa way. The neural MCTS algorithm has been successful in finding near-optimal…

The combination of Monte-Carlo tree search (MCTS) with deep reinforcement learning has led to significant advances in artificial intelligence. However, AlphaZero, the current state-of-the-art MCTS algorithm, still relies on handcrafted…

Reinforcement learning has achieved remarkable success in perfect information games such as Go and Atari, enabling agents to compete at the highest levels against human players. However, research in reinforcement learning for imperfect…

We introduce the Thresholding Monte Carlo Tree Search problem, in which, given a tree $\mathcal{T}$ and a threshold $\theta$, a player must answer whether the root node value of $\mathcal{T}$ is at least $\theta$ or not. In the given tree,…

Monte Carlo Tree Search (MCTS) is a powerful algorithm for solving complex decision-making problems. This paper presents an optimized MCTS implementation applied to the FrozenLake environment, a classic reinforcement learning task…

The advent of AlphaGo and its successors marked the beginning of a new paradigm in playing games using artificial intelligence. This was achieved by combining Monte Carlo tree search, a planning procedure, and deep learning. While the…

We present a framework for hedging a portfolio of derivatives in the presence of market frictions such as transaction costs, market impact, liquidity constraints or risk limits using modern deep reinforcement machine learning methods. We…

Gradient-based methods are often used for policy optimization in deep reinforcement learning, despite being vulnerable to local optima and saddle points. Although gradient-free methods (e.g., genetic algorithms or evolution strategies) help…