Risk-averse approximate dynamic programming with quantile-based risk measures
Year of publication: |
May 2018
|
---|---|
Authors: | Jiang, Daniel R. ; Powell, Warren B. |
Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 43.2018, 2, p. 554-579
|
Subject: | approximate dynamic programming | dynamic risk measures | energy trading | reinforcement learning | Q-learning | Dynamische Optimierung | Dynamic programming | Risiko | Risk | Risikomaß | Risk measure | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Lernprozess | Learning process | Messung | Measurement | Risikoaversion | Risk aversion |
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