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Non-Parametric Integral Estimation Using Data Clustering in Stochastic dynamic Programming: An Introduction Using Lifetime Financial Modelling

Khemka, Gaurav; Butt, Adam


This paper considers an alternative way of structuring stochastic variables in a dynamic programming framework where the model structure dictates that numerical methods of solution are necessary. Rather than estimating integrals within a Bellman equation using quadrature nodes, we use nodes directly from the underlying data. An example of the application of this approach is presented using individual lifetime financial modelling. The results show that data-driven methods lead to the least...[Show more]

CollectionsANU Research Publications
Date published: 2017
Type: Journal article
Source: Risks
DOI: 10.3390/risks5040057
Access Rights: Open Access


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