First-Order Pontryagin Maximum Principle for Risk-Averse Stochastic Optimal Control Problems.
Riccardo BonalliBenoît BonnetPublished in: SIAM J. Control. Optim. (2023)
Keyphrases
- optimal control problems
- risk averse
- optimal control
- risk neutral
- stochastic programming
- production planning
- solving nonlinear
- decision makers
- utility function
- control theory
- differential equations
- dynamic programming
- portfolio management
- multistage
- knapsack problem
- linear program
- augmented lagrangian
- control strategy
- data mining
- expected utility
- multi objective
- bayesian networks