A combined stochastic programming and optimal control approach to personal finance and pensions.
Agnieszka Karolina KoniczDavid PisingerKourosh Marjani RasmussenMogens SteffensenPublished in: OR Spectr. (2015)
Keyphrases
- optimal control
- stochastic programming
- multistage
- dynamic programming
- control problems
- chance constrained
- linear program
- feedback control
- control strategy
- asset liability management
- robust optimization
- infinite horizon
- control law
- reinforcement learning
- control algorithm
- linear programming
- computational intelligence
- linear quadratic
- optimal control problems