spsa-algorithm

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DanielHuangjiakang / PKU_SMOL_Project

This project uses stochastic approximation algorithms to optimize investment strategies and queueing systems. Techniques include the Simultaneous Perturbation Stochastic Approximation (SPSA) for maximizing the Sharpe ratio and Stochastic Approximation (SA) for minimizing waiting times in a GI/GI/1 queue.

python simulation optimization stochastic investment-strategy sa-algorithm spsa-algorithm

Updated Sep 21, 2024
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spsa-algorithm

Here is 1 public repository matching this topic...

DanielHuangjiakang / PKU_SMOL_Project

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