TTRISK: Tensor Train Decomposition Algorithm for Risk Averse Optimization.
Harbir AntilSergey DolgovAkwum OnwuntaPublished in: CoRR (2021)
Keyphrases
- decomposition algorithm
- risk averse
- working set
- stochastic programming
- working set selection
- risk neutral
- decomposition method
- risk aversion
- decision makers
- multistage
- optimization method
- utility function
- optimization algorithm
- training support vector machines
- optimization methods
- robust optimization
- portfolio management
- optimization problems
- expected utility
- reinforcement learning
- evolutionary algorithm