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Risk filtering and risk-averse control of Markovian systems subject to model uncertainty.
Tomasz R. Bielecki
Igor Cialenco
Andrzej Ruszczynski
Published in:
Math. Methods Oper. Res. (2023)
Keyphrases
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risk averse
probabilistic model
control strategies
objective function
cost function
utility function
stochastic programming
risk measures
sensitivity analysis
risk aversion
data mining
theoretical framework
mathematical models