Abstract: In this article, we investigate the optimal control problem for an unknown linear time-invariant system. To solve this problem, a novel composite policy iteration algorithm based on adaptive ...

A Python high-frequency intraday trading engine for simulating the rolling intrinsic strategy on the European market, solved as a dynamic program. See our paper (tbd, Schaurecker & Wozabal et al.

Abstract: Meta-heuristic algorithms, especially evolutionary algorithms, have been frequently used to find near optimal solutions to combinatorial optimization problems. The evaluation of such ...