A Kernel Mean Embedding Approach to Reducing Conservativeness in Stochastic Programming and Control.

Jia-Jie Zhu Bernhard Schölkopf Moritz Diehl

Published in: L4DC (2020)

Keyphrases

stochastic programming
multistage
chance constrained
linear program
control system
decision making under uncertainty
machine learning
risk averse
learning algorithm
dynamic programming
linear programming
kernel function
kernel methods
mathematical programming
multistage stochastic
asset liability management