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Register a new userComprehensive Review of Deep Reinforcement Learning Methods and Applications in Economics
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The popularity of deep reinforcement learning (DRL) methods in economics have been exponentially increased. DRL through a wide range of capabilities from reinforcement learning (RL) and deep learning (DL) for handling sophisticated dynamic business environments offers vast opportunities. DRL is characterized by scalability with the potential to be applied to high-dimensional problems in conjunction with noisy and nonlinear patterns of economic data. In this work, we first consider a brief review of DL, RL, and deep RL methods in diverse applications in economics providing an in-depth insight into the state of the art. Furthermore, the architecture of DRL applied to economic applications is investigated in order to highlight the complexity, robustness, accuracy, performance, computational tasks, risk constraints, and profitability. The survey results indicate that DRL can provide better performance and higher accuracy as compared to the traditional algorithms while facing real economic problems at the presence of risk parameters and the ever-increasing uncertainties.
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Deep Reinforcement learning is a branch of unsupervised learning in which an agent learns to act based on environment state in order to maximize its total reward. Deep reinforcement learning provides good opportunity to model the complexity of portfolio choice in high-dimensional and data-driven environment by leveraging the powerful representation of deep neural networks. In this paper, we build a portfolio management system using direct deep reinforcement learning to make optimal portfolio choice periodically among S&P500 underlying stocks by learning a good factor representation (as input). The result shows that an effective learning of market conditions and optimal portfolio allocations can significantly outperform the average market.
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.
Deep reinforcement learning (DRL) is an emerging methodology that is transforming the way many complicated transportation decision-making problems are tackled. Researchers have been increasingly turning to this powerful learning-based methodology to solve challenging problems across transportation fields. While many promising applications have been reported in the literature, there remains a lack of comprehensive synthesis of the many DRL algorithms and their uses and adaptations. The objective of this paper is to fill this gap by conducting a comprehensive, synthesized review of DRL applications in transportation. We start by offering an overview of the DRL mathematical background, popular and promising DRL algorithms, and some highly effective DRL extensions. Building on this overview, a systematic investigation of about 150 DRL studies that have appeared in the transportation literature, divided into seven different categories, is performed. Building on this review, we continue to examine the applicability, strengths, shortcomings, and common and application-specific issues of DRL techniques with regard to their applications in transportation. In the end, we recommend directions for future research and present available resources for actually implementing DRL.
This paper reviews the most important information fusion data-driven algorithms based on Machine Learning (ML) techniques for problems in Earth observation. Nowadays we observe and model the Earth with a wealth of observations, from a plethora of different sensors, measuring states, fluxes, processes and variables, at unprecedented spatial and temporal resolutions. Earth observation is well equipped with remote sensing systems, mounted on satellites and airborne platforms, but it also involves in-situ observations, numerical models and social media data streams, among other data sources. Data-driven approaches, and ML techniques in particular, are the natural choice to extract significant information from this data deluge. This paper produces a thorough review of the latest work on information fusion for Earth observation, with a practical intention, not only focusing on describing the most relevant previous works in the field, but also the most important Earth observation applications where ML information fusion has obtained significant results. We also review some of the most currently used data sets, models and sources for Earth observation problems, describing their importance and how to obtain the data when needed. Finally, we illustrate the application of ML data fusion with a representative set of case studies, as well as we discuss and outlook the near future of the field.
Mean field games (MFG) and mean field control problems (MFC) are frameworks to study Nash equilibria or social optima in games with a continuum of agents. These problems can be used to approximate competitive or cooperative games with a large finite number of agents and have found a broad range of applications, in particular in economics. In recent years, the question of learning in MFG and MFC has garnered interest, both as a way to compute solutions and as a way to model how large populations of learners converge to an equilibrium. Of particular interest is the setting where the agents do not know the model, which leads to the development of reinforcement learning (RL) methods. After reviewing the literature on this topic, we present a two timescale approach with RL for MFG and MFC, which relies on a unified Q-learning algorithm. The main novelty of this method is to simultaneously update an action-value function and a distribution but with different rates, in a model-free fashion. Depending on the ratio of the two learning rates, the algorithm learns either the MFG or the MFC solution. To illustrate this method, we apply it to a mean field problem of accumulated consumption in finite horizon with HARA utility function, and to a traders optimal liquidation problem.
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