Toward a Scalable Upper Bound for a CVaR-LQ Problem.
Margaret P. ChapmanLaurent LessardPublished in: IEEE Control. Syst. Lett. (2022)
Keyphrases
- upper bound
- lower bound
- upper and lower bounds
- worst case
- risk measures
- data sets
- portfolio selection
- branch and bound
- lower and upper bounds
- memory efficient
- databases
- single item
- web scale
- optimal control
- sample complexity
- branch and bound algorithm
- robust optimization
- peer to peer
- decision making
- learning algorithm
- neural network
- empirically derived
- nonparametric estimation