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

Jia-Wen Gu Shijing Si Harry 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