Bias and Variance Approximation in Value Function Estimates
Published Online:1 Feb 2007https://doi.org/10.1287/mnsc.1060.0614
References
- Investing for the long-run when returns are predictable. J. Finance (2000) 55:225–264Crossref, Google Scholar
- Variability sensitive Markov decision processes. Math. Oper. Res. (1992) 17(3):558–571Link, Google Scholar
- Dynamic Programming and Optimal Control (2000) 12nd ed.(Athena Scientific, Belmont, MA) Google Scholar
- Neuro-Dynamic Programming (1996) (Athena Scientific, Belmont, MA) Google Scholar
- Mailing decisions in the catalog sales industry. Management Sci. (1996) 42(9):1364–1381Link, Google Scholar
- Optimal selection for direct mail. Marketing Sci. (1995) 14(4):378–394Link, Google Scholar
- Strategic Asset Allocation: Portfolio Choice for Long-Term Investors (2002) (Oxford University Press, Oxford, UK) Crossref, Google Scholar
- The greatest of a finite set of random variables. Oper. Res. (1961) 9:145–162Link, Google Scholar
- Investment under Uncertainty (1994) (Princeton University Press, Princeton, NJ) Crossref, Google Scholar
- Variance-penalized Markov decision processes. Math. Oper. Res. (1989) 14:147–161Link, Google Scholar
- An adaptive dynamic programming algorithm for dynamic fleet management I: Single period travel time. Transportation Sci. (2002) 36(1):21–39Link, Google Scholar
- Optimal mailing of catalogs: A new methodology using estimable structural dynamic programming models. Management Sci. (1998) 44(9):1249–1262Link, Google Scholar
- Measuring the implications of sales and consumer stockpiling behavior. Econometrica (2002) . ForthcomingGoogle Scholar
- The solution and estimation of discrete choice dynamic programming models by simulation and interpolation: Monte Carlo evidence. Rev. Econom. Statist. (1994) 76(4):648–672Crossref, Google Scholar
- Extremes and Related Properties of Random Sequences and Processes (1983) (Springer-Verlag, New York) Crossref, Google Scholar
- Investment Science (1997) (Oxford University Press, New York) Google Scholar
- Revenue management: Research overview and prospects. Transportation Sci. (1999) 33:233–256Link, Google Scholar
- Optimal replacement of GMC bus engines: An empirical model of Harold Zurcher. Econometrica (1987) 55(5):999–1033Crossref, Google Scholar
- Approximation Theorems of Mathematical Statistics (1980) (Wiley, New York) Crossref, Google Scholar
- Dynamic catalog mailing policies. Management Sci. (2006) 52(5):683–696Link, Google Scholar
- The variance of a discounted Markov decision process. J. Appl. Probab. (1982) 19:794–802Crossref, Google Scholar
- Reinforcement Learning (1998) (MIT Press, Cambridge, MA) Google Scholar
- Learning about predictability: The effects of parameter uncertainty on dynamic asset allocation. J. Finance (2001) 56:205–246Crossref, Google Scholar
- Foundations of Inventory Management (2000) (McGraw-Hill/Irwin, Boston, MA) Google Scholar

