Risk-averse stochastic optimal control: an efficiently computable statistical upper bound

DOI10.1016/j.orl.2023.05.002zbMath1525.90301arXiv2112.09757OpenAlexW4376113344MaRDI QIDQ6047690

Yi Cheng, Vincent Guigues, Alexander Shapiro

Publication date: 12 September 2023

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2112.09757

zbMATH Keywords

stochastic programmingdynamic programmingstochastic optimal controlrisk measuresSDDPstatistical upper bounds

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic programming (90C15) Dynamic programming (90C39) Optimal stochastic control (93E20)

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