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Optimal Control of Conditional Value-at-Risk in Continuous Time.
Christopher W. Miller
Insoon Yang
Published in:
CoRR (2015)
Keyphrases
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optimal control
control problems
optimal control problems
dynamic programming
risk sensitive
control strategy
feedback control
class of nonlinear systems
brownian motion
infinite horizon
lyapunov function
reinforcement learning
control law
linear quadratic
evolutionary algorithm