Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures.
Daniel R. JiangWarren B. PowellPublished in: Math. Oper. Res. (2018)
Keyphrases
- risk measures
- risk averse
- approximate dynamic programming
- linear program
- stochastic programming
- utility function
- decision makers
- dynamic programming
- linear programming
- reinforcement learning
- portfolio management
- policy iteration
- computational complexity
- optimal solution
- state space
- markov decision processes
- expected utility
- average cost
- monte carlo
- data mining
- np hard
- objective function
- decision making