A Python high-frequency intraday trading engine for simulating the rolling intrinsic strategy on the European market, solved as a dynamic program. See our paper (tbd, Schaurecker & Wozabal et al.

Abstract: Robust economic dispatch (ED) is of paramount importance for obtaining robust unit commitment when considering the uncertainty in the system, which is a typical multistage robust ...

Abstract: This paper presents the bias-policy iteration, a modified adaptive dynamic programming method, to achieve optimal control design of discrete-time nonlinear systems. Firstly, the formulation ...