Risk-averse approximate dynamic programming with quantile-based risk measures
Daniel R. Jiang, Warren B. Powell
| Year of publication: |
May 2018
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|---|---|
| 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
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2017.0872 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011868618