Risk-averse stochastic optimal control: An efficiently computable statistical upper bound.

Vincent Guigues Alexander Shapiro Yi Cheng

Published in: Oper. Res. Lett. (2023)

Keyphrases

upper bound
efficiently computable
risk averse
lower bound
risk neutral
decision makers
stochastic programming
utility function
branch and bound
risk aversion
worst case
sufficient conditions
multi agent systems
cost function
portfolio management