Standard Reinforcement Learning (RL) aims to optimize decision-making rules in terms of the expected return. However, especially for risk-management purposes, other criteria such ...
This paper extends the model proposed by Papahristodoulou [C. Papahristodoulou, Option strategies with linear programming, European Journal of Operational Research 157 (2004) 246
Sauer's Lemma is extended to classes HN of binary-valued functions h on [n] = {1, . . . , n} which have a margin less than or equal to N on all x [n] with h(x) = 1, where th...