Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approach.
Yinlam ChowAviv TamarShie MannorMarco PavonePublished in: CoRR (2015)
Keyphrases
- risk sensitive
- robust optimization
- decision making
- foraging theory
- risk neutral
- optimal control
- markov decision processes
- utility function
- decision makers
- mathematical programming
- portfolio selection
- decision process
- portfolio optimization
- stochastic programming
- stochastic optimization
- expected utility
- multiple objectives
- optimization algorithm
- machine learning
- data mining
- decision processes
- optimization methods
- sensitivity analysis
- efficient optimization
- learning algorithm