Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approach.
Yinlam ChowAviv TamarShie MannorMarco PavonePublished in: NIPS (2015)
Keyphrases
- risk sensitive
- robust optimization
- decision making
- foraging theory
- optimal control
- risk neutral
- utility function
- decision makers
- data mining
- markov decision processes
- stochastic optimization
- stochastic programming
- optimization methods
- portfolio selection
- optimization method
- model free
- optimality criterion
- markov decision chains