Distributionally Robust Covariance Steering with Optimal Risk Allocation.
Venkatraman RenganathanJoshua PilipovskyPanagiotis TsiotrasPublished in: CoRR (2022)
Keyphrases
- optimal allocation
- dynamic programming
- robust optimization
- capacity allocation
- optimal solution
- worst case
- resource allocation
- closed form
- conditional expectation
- portfolio optimization
- risk neutral
- high risk
- optimal capacity
- simultaneous optimization
- allocation policy
- optimal strategy
- risk factors
- robust estimation
- pairwise