{"id":"https://openalex.org/W4387171584","doi":"https://doi.org/10.3233/faia230573","title":"Simplex Decomposition for Portfolio Allocation Constraints in Reinforcement Learning","display_name":"Simplex Decomposition for Portfolio Allocation Constraints in Reinforcement Learning","publication_year":2023,"publication_date":"2023-09-28","ids":{"openalex":"https://openalex.org/W4387171584","doi":"https://doi.org/10.3233/faia230573"},"language":"en","primary_location":{"id":"doi:10.3233/faia230573","is_oa":true,"landing_page_url":"http://dx.doi.org/10.3233/faia230573","pdf_url":"https://ebooks.iospress.nl/pdf/doi/10.3233/FAIA230573","source":{"id":"https://openalex.org/S4210201731","display_name":"Frontiers in artificial intelligence and applications","issn_l":"0922-6389","issn":["0922-6389","1879-8314"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by-nc","license_id":"https://openalex.org/licenses/cc-by-nc","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Frontiers in Artificial Intelligence and Applications","raw_type":"book-chapter"},"type":"book-chapter","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://ebooks.iospress.nl/pdf/doi/10.3233/FAIA230573","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5027236108","display_name":"David Winkel","orcid":"https://orcid.org/0000-0001-8829-0863"},"institutions":[{"id":"https://openalex.org/I3018771216","display_name":"LMU Klinikum","ror":"https://ror.org/02jet3w32","country_code":"DE","type":"healthcare","lineage":["https://openalex.org/I3018771216","https://openalex.org/I8204097"]},{"id":"https://openalex.org/I4403386549","display_name":"Munich Center for Machine Learning","ror":"https://ror.org/02nfy3535","country_code":null,"type":"education","lineage":["https://openalex.org/I4403386549","https://openalex.org/I62916508","https://openalex.org/I8204097"]},{"id":"https://openalex.org/I8204097","display_name":"Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen","ror":"https://ror.org/05591te55","country_code":"DE","type":"education","lineage":["https://openalex.org/I8204097"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"David Winkel","raw_affiliation_strings":["LMU Munich, Germany","Munich Center for Machine Learning (MCML)","LMU Munich, Germany; Munich Center for Machine Learning (MCML)"],"raw_orcid":"https://orcid.org/0000-0001-8829-0863","affiliations":[{"raw_affiliation_string":"LMU Munich, Germany","institution_ids":["https://openalex.org/I3018771216","https://openalex.org/I8204097"]},{"raw_affiliation_string":"Munich Center for Machine Learning (MCML)","institution_ids":["https://openalex.org/I4403386549"]},{"raw_affiliation_string":"LMU Munich, Germany; Munich Center for Machine Learning (MCML)","institution_ids":["https://openalex.org/I8204097","https://openalex.org/I4403386549"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5041119315","display_name":"Niklas Strau\u00df","orcid":"https://orcid.org/0000-0002-8083-7323"},"institutions":[{"id":"https://openalex.org/I3018771216","display_name":"LMU Klinikum","ror":"https://ror.org/02jet3w32","country_code":"DE","type":"healthcare","lineage":["https://openalex.org/I3018771216","https://openalex.org/I8204097"]},{"id":"https://openalex.org/I4403386549","display_name":"Munich Center for Machine Learning","ror":"https://ror.org/02nfy3535","country_code":null,"type":"education","lineage":["https://openalex.org/I4403386549","https://openalex.org/I62916508","https://openalex.org/I8204097"]},{"id":"https://openalex.org/I8204097","display_name":"Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen","ror":"https://ror.org/05591te55","country_code":"DE","type":"education","lineage":["https://openalex.org/I8204097"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Niklas Strau\u00df","raw_affiliation_strings":["LMU Munich, Germany","Munich Center for Machine Learning (MCML)","LMU Munich, Germany; Munich Center for Machine Learning (MCML)"],"raw_orcid":"https://orcid.org/0000-0002-8083-7323","affiliations":[{"raw_affiliation_string":"LMU Munich, Germany","institution_ids":["https://openalex.org/I3018771216","https://openalex.org/I8204097"]},{"raw_affiliation_string":"Munich Center for Machine Learning (MCML)","institution_ids":["https://openalex.org/I4403386549"]},{"raw_affiliation_string":"LMU Munich, Germany; Munich Center for Machine Learning (MCML)","institution_ids":["https://openalex.org/I8204097","https://openalex.org/I4403386549"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5003177894","display_name":"Matthias Schubert","orcid":"https://orcid.org/0000-0002-6566-6343"},"institutions":[{"id":"https://openalex.org/I3018771216","display_name":"LMU Klinikum","ror":"https://ror.org/02jet3w32","country_code":"DE","type":"healthcare","lineage":["https://openalex.org/I3018771216","https://openalex.org/I8204097"]},{"id":"https://openalex.org/I4403386549","display_name":"Munich Center for Machine Learning","ror":"https://ror.org/02nfy3535","country_code":null,"type":"education","lineage":["https://openalex.org/I4403386549","https://openalex.org/I62916508","https://openalex.org/I8204097"]},{"id":"https://openalex.org/I8204097","display_name":"Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen","ror":"https://ror.org/05591te55","country_code":"DE","type":"education","lineage":["https://openalex.org/I8204097"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Matthias Schubert","raw_affiliation_strings":["LMU Munich, Germany","Munich Center for Machine Learning (MCML)","LMU Munich, Germany; Munich Center for Machine Learning (MCML)"],"raw_orcid":"https://orcid.org/0000-0002-6566-6343","affiliations":[{"raw_affiliation_string":"LMU Munich, Germany","institution_ids":["https://openalex.org/I3018771216","https://openalex.org/I8204097"]},{"raw_affiliation_string":"Munich Center for Machine Learning (MCML)","institution_ids":["https://openalex.org/I4403386549"]},{"raw_affiliation_string":"LMU Munich, Germany; Munich Center for Machine Learning (MCML)","institution_ids":["https://openalex.org/I8204097","https://openalex.org/I4403386549"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5003335849","display_name":"Thomas Seidl","orcid":"https://orcid.org/0000-0002-4861-1412"},"institutions":[{"id":"https://openalex.org/I3018771216","display_name":"LMU Klinikum","ror":"https://ror.org/02jet3w32","country_code":"DE","type":"healthcare","lineage":["https://openalex.org/I3018771216","https://openalex.org/I8204097"]},{"id":"https://openalex.org/I4403386549","display_name":"Munich Center for Machine Learning","ror":"https://ror.org/02nfy3535","country_code":null,"type":"education","lineage":["https://openalex.org/I4403386549","https://openalex.org/I62916508","https://openalex.org/I8204097"]},{"id":"https://openalex.org/I8204097","display_name":"Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen","ror":"https://ror.org/05591te55","country_code":"DE","type":"education","lineage":["https://openalex.org/I8204097"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Thomas Seidl","raw_affiliation_strings":["LMU Munich, Germany","Munich Center for Machine Learning (MCML)","LMU Munich, Germany; Munich Center for Machine Learning (MCML)"],"raw_orcid":"https://orcid.org/0000-0002-4861-1412","affiliations":[{"raw_affiliation_string":"LMU Munich, Germany","institution_ids":["https://openalex.org/I3018771216","https://openalex.org/I8204097"]},{"raw_affiliation_string":"Munich Center for Machine Learning (MCML)","institution_ids":["https://openalex.org/I4403386549"]},{"raw_affiliation_string":"LMU Munich, Germany; Munich Center for Machine Learning (MCML)","institution_ids":["https://openalex.org/I8204097","https://openalex.org/I4403386549"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.2076,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.8276581,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":95,"max":97},"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.9908000230789185,"subfield":{"id":"https://openalex.org/subfields/2212","display_name":"Ocean Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.9908000230789185,"subfield":{"id":"https://openalex.org/subfields/2212","display_name":"Ocean Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12101","display_name":"Advanced Bandit Algorithms Research","score":0.9757000207901001,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10424","display_name":"Electric Power System Optimization","score":0.9726999998092651,"subfield":{"id":"https://openalex.org/subfields/2208","display_name":"Electrical and Electronic Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.6948950290679932},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6771175861358643},{"id":"https://openalex.org/keywords/decomposition","display_name":"Decomposition","score":0.6397610902786255},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.6384375691413879},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6193586587905884},{"id":"https://openalex.org/keywords/reinforcement-learning","display_name":"Reinforcement learning","score":0.518682599067688},{"id":"https://openalex.org/keywords/constraint","display_name":"Constraint (computer-aided design)","score":0.5061852335929871},{"id":"https://openalex.org/keywords/simplex","display_name":"Simplex","score":0.4951747953891754},{"id":"https://openalex.org/keywords/set","display_name":"Set (abstract data type)","score":0.44019263982772827},{"id":"https://openalex.org/keywords/space","display_name":"Space (punctuation)","score":0.4308328926563263},{"id":"https://openalex.org/keywords/limiting","display_name":"Limiting","score":0.42526838183403015},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.23567479848861694},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2146834135055542},{"id":"https://openalex.org/keywords/engineering","display_name":"Engineering","score":0.14756309986114502},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.14527824521064758},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.14524060487747192}],"concepts":[{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.6948950290679932},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6771175861358643},{"id":"https://openalex.org/C124681953","wikidata":"https://www.wikidata.org/wiki/Q339062","display_name":"Decomposition","level":2,"score":0.6397610902786255},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.6384375691413879},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6193586587905884},{"id":"https://openalex.org/C97541855","wikidata":"https://www.wikidata.org/wiki/Q830687","display_name":"Reinforcement learning","level":2,"score":0.518682599067688},{"id":"https://openalex.org/C2776036281","wikidata":"https://www.wikidata.org/wiki/Q48769818","display_name":"Constraint (computer-aided design)","level":2,"score":0.5061852335929871},{"id":"https://openalex.org/C62438384","wikidata":"https://www.wikidata.org/wiki/Q331350","display_name":"Simplex","level":2,"score":0.4951747953891754},{"id":"https://openalex.org/C177264268","wikidata":"https://www.wikidata.org/wiki/Q1514741","display_name":"Set (abstract data type)","level":2,"score":0.44019263982772827},{"id":"https://openalex.org/C2778572836","wikidata":"https://www.wikidata.org/wiki/Q380933","display_name":"Space (punctuation)","level":2,"score":0.4308328926563263},{"id":"https://openalex.org/C188198153","wikidata":"https://www.wikidata.org/wiki/Q1613840","display_name":"Limiting","level":2,"score":0.42526838183403015},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.23567479848861694},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2146834135055542},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.14756309986114502},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.14527824521064758},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.14524060487747192},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.3233/faia230573","is_oa":true,"landing_page_url":"http://dx.doi.org/10.3233/faia230573","pdf_url":"https://ebooks.iospress.nl/pdf/doi/10.3233/FAIA230573","source":{"id":"https://openalex.org/S4210201731","display_name":"Frontiers in artificial intelligence and applications","issn_l":"0922-6389","issn":["0922-6389","1879-8314"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by-nc","license_id":"https://openalex.org/licenses/cc-by-nc","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Frontiers in Artificial Intelligence and Applications","raw_type":"book-chapter"},{"id":"pmh:oai:arXiv.org:2404.10683","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2404.10683","pdf_url":"https://arxiv.org/pdf/2404.10683","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"}],"best_oa_location":{"id":"doi:10.3233/faia230573","is_oa":true,"landing_page_url":"http://dx.doi.org/10.3233/faia230573","pdf_url":"https://ebooks.iospress.nl/pdf/doi/10.3233/FAIA230573","source":{"id":"https://openalex.org/S4210201731","display_name":"Frontiers in artificial intelligence and applications","issn_l":"0922-6389","issn":["0922-6389","1879-8314"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by-nc","license_id":"https://openalex.org/licenses/cc-by-nc","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Frontiers in Artificial Intelligence and Applications","raw_type":"book-chapter"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4387171584.pdf","grobid_xml":"https://content.openalex.org/works/W4387171584.grobid-xml"},"referenced_works_count":26,"referenced_works":["https://openalex.org/W2073314543","https://openalex.org/W2575705757","https://openalex.org/W2615790994","https://openalex.org/W2736601468","https://openalex.org/W2758803042","https://openalex.org/W2769883686","https://openalex.org/W2784465508","https://openalex.org/W2803543472","https://openalex.org/W2804791273","https://openalex.org/W2896049690","https://openalex.org/W2913300629","https://openalex.org/W2963257680","https://openalex.org/W2980433389","https://openalex.org/W2982256055","https://openalex.org/W2998619042","https://openalex.org/W3102530194","https://openalex.org/W3122384525","https://openalex.org/W3128250523","https://openalex.org/W3156435040","https://openalex.org/W3200606641","https://openalex.org/W4285600796","https://openalex.org/W4287213625","https://openalex.org/W4293545785","https://openalex.org/W4294562617","https://openalex.org/W4310486832","https://openalex.org/W4360985603"],"related_works":["https://openalex.org/W1986311305","https://openalex.org/W4360613713","https://openalex.org/W3125148470","https://openalex.org/W2768197547","https://openalex.org/W2055959038","https://openalex.org/W4206877017","https://openalex.org/W4225528185","https://openalex.org/W4327779378","https://openalex.org/W2795635811","https://openalex.org/W2221832056"],"abstract_inverted_index":{"Portfolio":[0],"optimization":[1],"tasks":[2],"describe":[3],"sequential":[4],"decision":[5],"problems":[6],"in":[7,137],"which":[8,165],"the":[9,41,91,109,128,135,138,145,149,154,171],"investor\u2019s":[10],"wealth":[11],"is":[12,151,166],"distributed":[13],"across":[14],"a":[15,45,79,88,96,124,160],"set":[16,97],"of":[17,32,90,98,111,127,148,170],"assets.":[18],"Allocation":[19],"constraints":[20,85],"are":[21],"used":[22],"to":[23,34,44,49,82,120,153],"enforce":[24],"minimal":[25],"or":[26],"maximal":[27],"investments":[28],"into":[29,95,130],"particular":[30],"subsets":[31],"assets":[33],"control":[35],"for":[36,54,108,189],"objectives":[37],"such":[38],"as":[39],"limiting":[40,134],"portfolio\u2019s":[42],"exposure":[43],"certain":[46,125],"sector":[47],"due":[48],"environmental":[50],"concerns.":[51],"Although":[52],"methods":[53,70],"(CRL)":[55],"can":[56,64],"optimize":[57],"policies":[58],"while":[59,133],"considering":[60],"allocation":[61,84,100],"constraints,":[62],"it":[63],"be":[65],"observed":[66],"that":[67,144,181],"these":[68],"general":[69],"yield":[71],"suboptimal":[72],"results.":[73],"In":[74,102],"this":[75,106],"paper,":[76],"we":[77,104],"propose":[78],"novel":[80],"approach":[81,107,163,183],"handle":[83],"based":[86],"on":[87,168,176],"decomposition":[89],"constraint":[92],"action":[93,146,156],"space":[94,147],"unconstrained":[99],"problems.":[101],"particular,":[103],"examine":[105],"case":[110],"two":[112],"constraints.":[113],"For":[114],"example,":[115],"an":[116],"investor":[117],"may":[118],"wish":[119],"invest":[121],"at":[122],"least":[123],"percentage":[126],"portfolio":[129,190],"green":[131],"technologies":[132],"investment":[136],"fossil":[139],"energy":[140],"sector.":[141],"We":[142],"show":[143],"task":[150],"equivalent":[152],"decomposed":[155],"space,":[157],"and":[158],"introduce":[159],"new":[161],"(RL)":[162],"CAOSD,":[164],"built":[167],"top":[169],"decomposition.":[172],"The":[173],"experimental":[174],"evaluation":[175],"real-world":[177],"Nasdaq":[178],"data":[179],"demonstrates":[180],"our":[182],"consistently":[184],"outperforms":[185],"state-of-the-art":[186],"CRL":[187],"benchmarks":[188],"optimization.":[191]},"counts_by_year":[{"year":2026,"cited_by_count":1}],"updated_date":"2026-07-03T08:13:44.112507","created_date":"2023-09-30T00:00:00"}