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Parallel Nonstationary Direct Policy Search for Risk-Averse Stochastic Optimization.
Somayeh Moazeni
Warren B. Powell
Boris Defourny
Belgacem Bouzaïene-Ayari
Published in:
INFORMS J. Comput. (2017)
Keyphrases
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non stationary
stochastic optimization
risk averse
direct policy search
stochastic programming
multistage
risk neutral
utility function
robust optimization
reinforcement learning
decision makers
random fields
portfolio management
stock price
expected utility
lot sizing
monte carlo
machine learning