A Q-learning Approach to a Consumption-Investment Problem

Ruy Lopez-Rios

International Journal of Statistics and Probability, 2021, vol. 10, issue 2, 110

Abstract: The paper deals with a discrete-time consumption investment problem with an infinite horizon. This problem is formulated as a Markov decision process with an expected total discounted utility as an objective function. This paper aims to presents a procedure to approximate the solution via machine learning, specifically, a Q-learning technique. The numerical results of the problem are provided.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.ccsenet.org/journal/index.php/ijsp/article/download/0/0/44805/47397 (application/pdf)
http://www.ccsenet.org/journal/index.php/ijsp/article/view/0/44805 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ibn:ijspjl:v:10:y:2021:i:2:p:110

Access Statistics for this article

More articles in International Journal of Statistics and Probability from Canadian Center of Science and Education Contact information at EDIRC.
Bibliographic data for series maintained by Canadian Center of Science and Education ().