The Qknn algorithm is an algorithm presented in MkV_control_problem, and based on local regression (k-nearest neighbors) and quantization theory, to solve control problems.
In this repertory, some implementations of Qknn are available to solve some of the stochastic control problems proposed in MkV_control_problem. The grids for the quantization of the normal distribution are available in http://www.quantize.maths-fi.com/
- SystemicRiskSmoothc.jl is the code, written in Julia, using quantization and k-nearest neighbors to solve a Systemic Risk problem proposed in MkV_control_problem.
- portfolioLiquidation_github.jl is the code, written in Julia, using quantization and k-nearest neighbors to solve a portfolio liquidation problem proposed in MkV_control_problem.