Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures
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Publication:5219554
DOI10.1287/moor.2017.0872zbMath1440.90084arXiv1509.01920OpenAlexW2462780152MaRDI QIDQ5219554
Daniel R. Jiang, Warren B. Powell
Publication date: 12 March 2020
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.01920
Decision theory (91B06) Dynamic programming (90C39) Stochastic approximation (62L20) Stochastic learning and adaptive control (93E35)
Related Items (5)
Zeroth-Order Stochastic Compositional Algorithms for Risk-Aware Learning ⋮ Quantile Markov Decision Processes ⋮ Risk-Sensitive Reinforcement Learning via Policy Gradient Search ⋮ A unified framework for stochastic optimization ⋮ Socially responsible merchant operations: comparison of shutdown-averse CVaR and anticipated regret policies
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