Risk-Averse Optimization of Total Rewards in Markovian Models Using Deviation Measures.
Christel BaierJakob PiribauerMaximilian StarkePublished in: CONCUR (2024)
Keyphrases
- risk averse
- markovian models
- stochastic programming
- risk neutral
- optimization algorithm
- decision makers
- utility function
- multistage
- optimization method
- optimization problems
- combinatorial optimization
- reinforcement learning
- genetic algorithm
- variable length
- robust optimization
- linear program
- portfolio management
- steady state