Reinforcement Learning in Economics and Finance

@article{Charpentier2021ReinforcementLI,
  title={Reinforcement Learning in Economics and Finance},
  author={Arthur Charpentier and Romuald Elie and Carl Remlinger},
  journal={ArXiv},
  year={2021},
  volume={abs/2003.10014}
}
Reinforcement learning algorithms describe how an agent can learn an optimal action policy in a sequential decision process, through repeated experience. In a given environment, the agent policy provides him some running and terminal rewards. As in online learning, the agent learns sequentially. As in multi-armed bandit problems, when an agent picks an action, he can not infer ex-post the rewards induced by other action choices. In reinforcement learning, his actions have consequences: they… 

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