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Risk-averse policy optimization via risk-neutral policy optimization.

Lorenzo BisiDavide SantambrogioFederico SandrelliAndrea TirinzoniBrian D. ZiebartMarcello Restelli
Published in: Artif. Intell. (2022)
Keyphrases
  • risk averse
  • risk neutral
  • stochastic programming
  • utility function
  • optimization problems
  • optimization methods
  • objective function
  • steady state
  • robust optimization
  • portfolio management
  • risk aversion