Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures.
Daniel R. JiangWarren B. PowellPublished in: CoRR (2015)
Keyphrases
- risk measures
- approximate dynamic programming
- risk averse
- linear program
- stochastic programming
- utility function
- decision makers
- dynamic programming
- reinforcement learning
- linear programming
- portfolio management
- expected utility
- control policy
- average cost
- optimal solution
- np hard
- bayesian networks
- policy iteration
- objective function