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Neural-progressive hedging: Enforcing constraints in reinforcement learning with stochastic programming.
Supriyo Ghosh
Laura Wynter
Shiau Hong Lim
Duc Thien Nguyen
Published in:
UAI (2022)
Keyphrases
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stochastic programming
reinforcement learning
multistage
chance constrained
linear program
risk averse
fitted q iteration
dynamic programming
decision making under uncertainty
learning algorithm
optimal policy
markov decision processes
asset liability management
state space
support vector