A Kernel Mean Embedding Approach to Reducing Conservativeness in Stochastic Programming and Control.

Jia-Jie Zhu Bernhard Schölkopf Moritz Diehl

Published in: CoRR (2020)

Keyphrases

stochastic programming
multistage
linear program
chance constrained
asset liability management
control system
risk averse
feature space
kernel function
robust optimization
power generation
multistage stochastic
learning algorithm
support vector
decision making under uncertainty