Risk-averse risk-constrained optimal control.
Pantelis SopasakisMathijs SchuurmansPanagiotis PatrinosPublished in: ECC (2019)
Keyphrases
- optimal control
- risk averse
- risk neutral
- risk sensitive
- utility function
- risk aversion
- dynamic programming
- decision makers
- stochastic programming
- infinite horizon
- portfolio management
- optimal control problems
- control strategy
- reinforcement learning
- expected utility
- markov decision processes
- machine learning
- production planning
- pareto optimal