A Convex Programming Approach to Data-Driven Risk-Averse Reinforcement Learning.
Yuzhen HanMajid MazouchiSubramanya P. NageshraoHamidreza ModaresPublished in: CoRR (2021)
Keyphrases
- convex programming
- risk averse
- reinforcement learning
- risk neutral
- linear programming
- decision makers
- interior point methods
- utility function
- convex optimization
- stochastic programming
- portfolio management
- state space
- markov decision processes
- primal dual
- model free
- convex functions
- optimal control
- semidefinite programming
- bayesian networks
- kernel learning
- optimal policy
- quadratic programming
- inventory level
- expected utility
- dynamic programming
- multistage
- training set