no code implementations • 31 Dec 2020 • Philippe Casgrain, Anastasis Kratsios
The need for fast and robust optimization algorithms are of critical importance in all areas of machine learning.
no code implementations • NeurIPS 2019 • Philippe Casgrain
This paper provides a unifying theoretical framework for stochastic optimization algorithms by means of a latent stochastic variational problem.
1 code implementation • 23 Apr 2019 • Philippe Casgrain, Brian Ning, Sebastian Jaimungal
Model-free learning for multi-agent stochastic games is an active area of research.
no code implementations • 12 Jun 2018 • Philippe Casgrain, Sebastian Jaimungal
Under fairly general assumptions, we demonstrate how the trader can learn the posterior distribution over the latent states, and explicitly solve the latent optimal trading problem.