We also adapt traditional RL methods to real-life situations by considering only past data for the training sets.
While researchers in the asset management industry have mostly focused on techniques based on financial and risk planning techniques like Markowitz efficient frontier, minimum variance, maximum diversification or equal risk parity, in parallel, another community in machine learning has started working on reinforcement learning and more particularly deep reinforcement learning to solve other decision making problems for challenging task like autonomous driving, robot learning, and on a more conceptual side games solving like Go.
Can an agent learn efficiently in a noisy and self adapting environment with sequential, non-stationary and non-homogeneous observations?
Can an asset manager plan the optimal timing for her/his hedging strategies given market conditions?
Deep reinforcement learning (DRL) has reached super human levels in complex tasks like game solving (Go and autonomous driving).
OCA brings substantial differences and improvements compared to previous coordinate ascent feature selection method: we group variables into block and individual variables instead of a binary selection.