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Optimal Sequential Exploration: Bandits, Clairvoyants, and Wildcats
16 references·4 citing·33 second hop
Optimal Sequential Exploration: Bandits, Clairvoyants, and Wildcats (2013)Optimal Sequential Exploration: Bandits, …The Knowledge Gradient Algorithm for a General Class of Online Learning Problems (2012)The Knowledge Gradient Algori…Multi‐Armed Bandit Allocation Indices (2011)Multi‐Armed Bandit Allocation…Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds (2011)Dynamic Portfolio Optimizatio…Linearly Parameterized Bandits (2010)Linearly Parameterized BanditsInformation Relaxations and Duality in Stochastic Dynamic Programs (2010)Information Relaxations and D…An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation (2010)An Approximate Dynamic Progra…Relaxations of Weakly Coupled Stochastic Dynamic Programs (2008)Relaxations of Weakly Coupled…Multi-Armed Bandit Problems (2007)Multi-Armed Bandit ProblemsMulti-armed bandit problems with dependent arms (2007)Multi-armed bandit problems w…Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Primal-Dual Simulation Algori…Pricing American Options: A Duality Approach (2004)Pricing American Options: A D…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Monte Carlo valuation of American options (2002)Monte Carlo valuation of Amer…Multi-Armed Bandit Allocation Indices. (1990)Multi-Armed Bandit Allocation…Restless bandits: activity allocation in a changing world (1988)Restless bandits: activity al…Multi-Armed Bandits and the Gittins Index (1980)Multi-Armed Bandits and the G…Sequential Exploration: Valuation with Geological Dependencies and Uncertain Oil Prices (2020)Sequential Exploration: Valua…Multi-Armed Bandits: Theory and Applications to Online Learning in Networks (2019)Multi-Armed Bandits: Theory a…Sequential information gathering schemes for spatial risk and decision analysis applications (2017)Sequential information gather…Robust Multiarmed Bandit Problems (2015)Robust Multiarmed Bandit Prob…Bandit Processes and Dynamic Allocation Indices (1979)Extensions of the multiarmed bandit problem: The discounted case (1985)The Multi-Armed Bandit Problem: Decomposition and Computation (1987)KULLBACK-LEIBLER UPPER CONFIDENCE BOUNDS FOR OPTIMAL SEQUENTIAL ALLOCATION (2013)A Stochastic Approximation Method (1951)Some aspects of the sequential design of experiments (1952)Finite-time Analysis of the Multiarmed Bandit Problem (2002)Combinatorial Network Optimization With Unknown Variables: Multi-Armed Bandits With Linear Rewards and Individual Observations (2012)A Tutorial on Thompson Sampling (2018)Online Decision Making with High-Dimensional Covariates (2019)Pricing American-style securities using simulation (1997)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A stochastic mesh method for pricing high-dimensional American options (2004)Options: A Monte Carlo approach (1977)Option pricing: A simplified approach (1979)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Lectures on Stochastic Programming: Modeling and Theory (2009)Solution and Estimation Methods for DSGE Models (2016)Martingales and arbitrage in multiperiod securities markets (1979)Dynamic Asset Pricing Theory. (1993)Markov Perfect Industry Dynamics with Many Firms (2005)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)On an index policy for restless bandits (1990)The Psychology and Neuroscience of Curiosity (2015)Bandit Algorithms (2020)An Empirical Evaluation of Thompson Sampling (2011)Analysis of Thompson Sampling for the multi-armed bandit problem (2011)Introduction to Multi-Armed Bandits (2019)Learning to Optimize via Posterior Sampling (2014)A unified framework for stochastic optimization (2018)
this work references cited by second hop

References

  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 1988Restless bandits: activity allocation in a changing world1,174 cited
  • 1990Multi-Armed Bandit Allocation Indices.997 cited
  • 2011Multi‐Armed Bandit Allocation Indices685 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 1980Multi-Armed Bandits and the Gittins Index515 cited
  • 2004Pricing American Options: A Duality Approach452 cited
  • 2010Linearly Parameterized Bandits428 cited
  • 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options420 cited
  • 2010Information Relaxations and Duality in Stochastic Dynamic Programs225 cited
  • 2008Relaxations of Weakly Coupled Stochastic Dynamic Programs197 cited
  • 2007Multi-Armed Bandit Problems188 cited
  • 2011Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds169 cited
  • 2010An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation163 cited
  • 2007Multi-armed bandit problems with dependent arms163 cited
  • 2012The Knowledge Gradient Algorithm for a General Class of Online Learning Problems

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157 cited

Cited by

  • 2015Robust Multiarmed Bandit Problems46 cited
  • 2019Multi-Armed Bandits: Theory and Applications to Online Learning in Networks35 cited
  • 2020Sequential Exploration: Valuation with Geological Dependencies and Uncertain Oil Prices26 cited
  • 2017Sequential information gathering schemes for spatial risk and decision analysis applications12 cited