Risk-averse Distributional Reinforcement Learning: A CVaR Optimization Approach.
Silvestr StankoKarel MacekPublished in: IJCCI (2019)
Keyphrases
- risk averse
- stochastic programming
- reinforcement learning
- risk neutral
- decision makers
- utility function
- risk aversion
- risk measures
- multistage
- optimization algorithm
- linear program
- expected utility
- portfolio management
- robust optimization
- decision making
- optimization method
- state space
- model free
- dynamic programming
- optimization methods
- optimization problems