I will give a 30min talk at IACS in Toronto tomorrow, to present our recent State-of-the-Art of Reinforcement Learning, in Economics and Finance. The paper is online on ArXiv. and the slides are available online too,
La première partie de mon intervention sur la science des données, dans le cadre du cours INF7100 portera sur les données (et la distinction entre les données d’observations et les données d’expérience). Le plan est le suivant
(oui je suis passé sur youtube pour ce cours… mon compte viméo a malheureusement été suspendu… et toutes les capsules de mon cours précédent ne sont plus visibles)
With Romuald Elie and Carl Remlinger we recently uploaded on ArXiv a paper on Reinforcement Learning in Economics and Finance
Reinforcement learning algorithms describe how an agent can learn an optimal action policy in a sequential decision process, through repeated experience. In a given environment, the agent policy provides him some running and terminal rewards. As in online learning, the agent learns sequentially. As in multi-armed bandit problems, when an agent picks an action, he can not infer ex-post the rewards induced by other action choices. In reinforcement learning, his actions have consequences: they influence not only rewards, but also future states of the world. The goal of reinforcement learning is to find an optimal policy — a mapping from the states of the world to the set of actions, in order to maximize cumulative reward, which is a long term strategy. Exploring might be sub-optimal on a short-term horizon but could lead to optimal long-term ones. Many problems of optimal control, popular in economics for more than forty years, can be expressed in the reinforcement learning framework, and recent advances in computational science, provided in particular by deep learning algorithms, can be used by economists in order to solve complex behavioral problems. In this article, we propose a state-of-the-art of reinforcement learning techniques, and present applications in economics, game theory, operation research and finance.