MPC for budget allocation outperforms reactive methods only when return dynamics have predictable structure captured by an underlying model.
Online optimal control with linear dynamics and predictions: Algorithms and regret analysis.Advances in Neural Information Processing Systems, 32
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Learning to Spend: Model Predictive Control for Budgeting under Non-Stationary Returns
MPC for budget allocation outperforms reactive methods only when return dynamics have predictable structure captured by an underlying model.