英文标题：
《EM Algorithm and Stochastic Control in Economics》
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作者：
Steven Kou, Xianhua Peng, Xingbo Xu
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最新提交年份：
2016
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英文摘要：
Generalising the idea of the classical EM algorithm that is widely used for computing maximum likelihood estimates, we propose an EM-Control (EM-C) algorithm for solving multi-period finite time horizon stochastic control problems. The new algorithm sequentially updates the control policies in each time period using Monte Carlo simulation in a forward-backward manner; in other words, the algorithm goes forward in simulation and backward in optimization in each iteration. Similar to the EM algorithm, the EM-C algorithm has the monotonicity of performance improvement in each iteration, leading to good convergence properties. We demonstrate the effectiveness of the algorithm by solving stochastic control problems in the monopoly pricing of perishable assets and in the study of real business cycle.
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中文摘要：
推广了广泛用于计算最大似然估计的经典EM算法的思想，我们提出了一种用于求解多周期有限时域随机控制问题的EM控制（EM-C）算法。新算法采用蒙特卡罗模拟，在每个时间段以前后向的方式依次更新控制策略；换句话说，在每次迭代中，算法在模拟中向前，在优化中向后。与EM算法类似，EM-C算法在每次迭代中都具有性能改进的单调性，因此具有良好的收敛性。通过求解易逝性资产垄断定价中的随机控制问题和实际经济周期的研究，证明了该算法的有效性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Statistics 统计学
二级分类：Machine Learning 机器学习
分类描述：Covers machine learning papers (supervised, unsupervised, semi-supervised learning, graphical models, reinforcement learning, bandits, high dimensional inference, etc.) with a statistical or theoretical grounding
覆盖机器学习论文（监督，无监督，半监督学习，图形模型，强化学习，强盗，高维推理等）与统计或理论基础
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