Neural networks for the value function approximation in Markov infinite horizon optimal stopping problems

• Main Author: Τοπολλάι, Κρίστι
• Other Authors: Topollai, Kristi
• Language: English
• Published: 2022
• Subjects: Optimal stopping; Neural networks; Sequential analysis; Stopping times; Curse of dimensionality; Partial differential equations; Value function; Supervised learning; Πρόβλημα βέλτιστης στάσης; Χρόνος στάσης; Νευρωνικά δίκτυα; Ακολουθιακή ανάλυση; Κατάρα της διάστασης; Μερικές διαφορικές εξισώσεις; Συνάρτηση αξίας; Επιβλεπώμενη μάθηση

In optimal stopping problems, the objective is the acquisition of a time to take a particular action, in order to minimize an expected cost. To properly capture that stopping time, however, one has to compute the value function, this computation is performed numerically and suffers from the curse...