Evaluating policies in risk-averse multi-stage stochastic programming.

Václav Kozmík David P. Morton

Published in: Math. Program. (2015)

Keyphrases

stochastic programming
multistage
risk averse
optimal policy
dynamic programming
production system
single stage
average cost
lot sizing
reinforcement learning
long run
decision problems
state space
infinite horizon
control policies
special case
markov decision processes
finite horizon
simulated annealing