A Risk-Averse Analog of the Hamilton-Jacobi-Bellman Equation.
Andrzej RuszczynskiJianing YaoPublished in: SIAM Conf. on Control and its Applications (2015)
Keyphrases
- hamilton jacobi bellman
- risk averse
- optimal control
- control problems
- nonlinear systems
- risk neutral
- stochastic control
- decision makers
- stochastic programming
- utility function
- reinforcement learning
- dynamical systems
- expected utility
- hamilton jacobi
- queueing systems
- portfolio management
- dynamic programming
- infinite horizon
- multistage
- linear program
- adaptive control
- brownian motion
- graphical models