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Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation.

Jia-Wen GuShijing SiHarry Zheng
Published in: SIAM J. Control. Optim. (2020)
Keyphrases
  • hamilton jacobi bellman
  • optimal control
  • nonlinear systems
  • constrained optimization
  • neural network
  • genetic algorithm
  • probability distribution
  • denoising
  • utility function
  • numerical solution