Risk-Averse Trust Region Optimization for Reward-Volatility Reduction.
Lorenzo BisiLuca SabbioniEdoardo VittoriMatteo PapiniMarcello RestelliPublished in: CoRR (2019)
Keyphrases
- trust region
- risk averse
- stochastic programming
- optimization methods
- line search
- global optimum
- column generation
- optimization problems
- decision makers
- optimization algorithm
- linear program
- optimization method
- multistage
- objective function
- utility function
- long run
- quadratic programming
- log likelihood
- global convergence
- newton method
- decision making
- convergence rate
- multiple objectives
- branch and bound
- robust optimization
- dynamic programming
- multi objective
- simulated annealing