Functional Constrained Optimization for Risk Aversion and Sparsity Control.

Yi Cheng Guanghui Lan H. Edwin Romeijn

Published in: CoRR (2022)

Keyphrases

constrained optimization
risk aversion
unconstrained optimization
objective function
utility function
constrained optimization problems
penalty function
risk neutral
exchange rate
expected utility
risk averse
linear programming
lagrange multipliers
artificial intelligence
evolutionary algorithm