Risk-averse optimization of total rewards in Markovian models using deviation measures.
Christel BaierJakob PiribauerMaximilian StarkePublished in: CoRR (2024)
Keyphrases
- risk averse
- markovian models
- stochastic programming
- risk neutral
- utility function
- risk aversion
- optimization problems
- optimization algorithm
- decision makers
- reinforcement learning
- combinatorial optimization
- expected utility
- multistage
- optimization method
- sensitivity analysis
- optimization methods
- decision theoretic
- decision theory
- linear program
- portfolio management