Censored exploration and the Dark Pool Problem

Proceedings of the 25th Conference on Uncertainty in Artificial Intelligence, UAI 2009

Volumn , Issue , 2009, Pages 185-194

  Ganchev, Kuzman ^a   Kearns, Michael ^a   Nevmyvaka, Yuriy ^a   Vaughan, Jennifer Wortman ^a  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

INVENTORY CONTROL; POLYNOMIAL APPROXIMATION; REINFORCEMENT LEARNING; STOCHASTIC SYSTEMS;

ASYMPTOTIC CONVERGENCE; CENSORED DATA; EXPERIMENTAL EVALUATION; EXPLORATION EXPLOITATIONS; NEAR-OPTIMAL ALLOCATION; POLYNOMIAL-TIME; STOCHASTIC INVENTORY CONTROLS;

LAKES;

EID: 80053169973     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (10)

1. N. Alon and J. Spencer. The Probabilistic Method, 2nd Edition. Wiley, New York, 2000.
2. D. Bogoslaw. Big traders dive into dark pools. Business Week article, available at: http://www.businessweek.com/investor/content/oct2007/pi2007102- 394204.h%tm, 2007.
3. R. Brafman and M. Tennenholtz. R-MAX - A general polynomial time algorithm for near-optimal reinforcement learning. JMLR, 3:213-231, 2003.
4. N. Cesa-Bianchi and G. Lugosi. Prediction, Learning, and Games. Cambridge University Press, 2006.
5. A. Foldes and L. Rejto. Strong uniform consistency for nonparametric survival curve estimators from randomly censored data. The Annals of Statistics, 9(1):122-129, 1981.
6. W. T. Huh, R. Levi, P. Rusmevichientong, and J. Orlin. Adaptive data-driven inventory control policies based on Kaplan-Meier estimator. Preprint available at http://legacy.orie.cornell.edu/~paatrus/psfiles/km-myopic.pdf, 2009.
7. E. L. Kaplan and P. Meier. Nonparametric estimation from incomplete observations. JASA, 53:457-481, 1958.
8. M. Kearns and S. Singh. Near-optimal reinforcement learning in polynomial time. MLJ, 49:209-232, 2002. (Pubitemid 34325687)
9. A. V. Peterson. Kaplan-Meier estimator. In Encyclopedia of Statistical Sciences. Wiley, 1983.
10. Wikipedia. Dark pools of liquidity. http://en.wikipedia.org/wiki/Dark- pools-of-liquidity, 2009.