TY - GEN
T1 - Stochastic Multi-Armed Bandits with Non-Stationary Rewards Generated by a Linear Dynamical System
AU - Gornet, Jonathan
AU - Hosseinzadeh, Mehdi
AU - Sinopoli, Bruno
N1 - Publisher Copyright:
© 2022 IEEE.
PY - 2022
Y1 - 2022
N2 - The stochastic multi-armed bandit has provided a framework for studying decision-making in unknown environments. We propose a variant of the stochastic multi-armed bandit where the rewards are sampled from a stochastic linear dynamical system. The proposed strategy for this variant is to learn a model of the dynamical system while choosing the optimal action based on the learned model. Motivated by mathematical finance areas such as Intertemporal capital asset pricing model proposed by Merton and Stochastic portfolio theory proposed by Fernholz that both model asset returns with stochastic differential equations, this strategy is applied to quantitative finance as a high-frequency trading strategy, where the goal is to maximize returns within a time period.
AB - The stochastic multi-armed bandit has provided a framework for studying decision-making in unknown environments. We propose a variant of the stochastic multi-armed bandit where the rewards are sampled from a stochastic linear dynamical system. The proposed strategy for this variant is to learn a model of the dynamical system while choosing the optimal action based on the learned model. Motivated by mathematical finance areas such as Intertemporal capital asset pricing model proposed by Merton and Stochastic portfolio theory proposed by Fernholz that both model asset returns with stochastic differential equations, this strategy is applied to quantitative finance as a high-frequency trading strategy, where the goal is to maximize returns within a time period.
UR - https://www.scopus.com/pages/publications/85146997927
U2 - 10.1109/CDC51059.2022.9993316
DO - 10.1109/CDC51059.2022.9993316
M3 - Conference contribution
AN - SCOPUS:85146997927
T3 - Proceedings of the IEEE Conference on Decision and Control
SP - 1460
EP - 1465
BT - 2022 IEEE 61st Conference on Decision and Control, CDC 2022
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 61st IEEE Conference on Decision and Control, CDC 2022
Y2 - 6 December 2022 through 9 December 2022
ER -