A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure
Published Online:17 Feb 2017https://doi.org/10.1287/mnsc.2016.2639
Supplemental Material
mnsc.2016.2639-sm.pdf (550 KB)
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Volume 64, Issue 2
February 2018
Pages v-x, 495-981
Article Information
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- Received:January 20, 2015
- Accepted:August 12, 2016
- Published Online:February 17, 2017
Copyright © 2017, INFORMS
Cite as
Ningyuan Chen, Steven Kou, Chun Wang (2017) A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure. Management Science 64(2):784-803.
https://doi.org/10.1287/mnsc.2016.2639
Keywords
