no code implementations • 14 Apr 2024 • Zhanhao Zhang, Jan Lorenz Svensen, Morten Wahlgreen Kaysfeld, Anders Hilmar Damm Christensen, Steen Hørsholt, John Bagterp Jørgensen
In the numerical experiment, we test and compare the proposed numerical methods.
no code implementations • 12 Apr 2024 • Zhanhao Zhang, Steen Hørsholt, John Bagterp Jørgensen
This paper presents the numerical discretization methods of the continuous-time linear-quadratic optimal control problems (LQ-OCPs) with time delays.
no code implementations • 27 Feb 2023 • Anders H. D. Andersen, Zhanhao Zhang, Steen Hørsholt, Tobias K. S. Ritschel, John Bagterp Jørgensen
The key software principles are 1) shared data in the form of a database, files, or shared memory, 2) timers and threads for concurrent periodic execution of tasks, and 3) network communication between the control system and the process, and communication between the control system and the internet, e. g., the cloud to enable remote monitoring and commands.
2 code implementations • 2 Nov 2021 • Xiaofei Shi, Daran Xu, Zhanhao Zhang
This work studies the deep learning-based numerical algorithms for optimal hedging problems in markets with general convex transaction costs on the trading rates, focusing on their scalability of trading time horizon.
no code implementations • 11 Oct 2021 • Zhanhao Zhang
Online auction has been very widespread in the recent years.