A gradient descent-ascent method for continuous-time risk-averse optimal control
From MaRDI portal
Cites work
- A risk-averse analog of the Hamilton-Jacobi-Bellman equation
- A Stochastic Gradient Descent Approach for Stochastic Optimal Control
- An Interior-Point Approach for Solving Risk-Averse PDE-Constrained Optimization Problems with Coherent Risk Measures
- Approximation and optimality necessary conditions in relaxed stochastic control problems
- Brownian motion, martingales, and stochastic calculus
- Existence and optimality conditions for risk-averse PDE-constrained optimization
- First-Order Pontryagin Maximum Principle for Risk-Averse Stochastic Optimal Control Problems
- scientific article; zbMATH DE number 1577097 (Why is no real title available?)
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 1502618 (Why is no real title available?)
- scientific article; zbMATH DE number 895354 (Why is no real title available?)
- Lectures on Stochastic Programming
- Markov decision processes with average-value-at-risk criteria
- Numerical methods for backward stochastic differential equations: a survey
- Numerical optimization. Theoretical and practical aspects. Transl. from the French
- Numerical solution of saddle point problems
- On a theorem of Danskin with an application to a theorem of Von Neumann-Sion
- On a time consistency concept in risk averse multistage stochastic programming
- On Borkar and Young relaxed control topologies and continuous dependence of invariant measures on control policy
- Optimal Control of Conditional Value-at-Risk in Continuous Time
- Optimal Control of Endoatmospheric Launch Vehicle Systems: Geometric and Computational Issues
- Optimal control. Theory and applications
- Optimality conditions in variational form for non-linear constrained stochastic control problems
- Optimization over state feedback policies for robust control with constraints
- Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control
- Risk-averse control of undiscounted transient Markov models
- Risk-averse dynamic programming for Markov decision processes
- Risk-Sensitive Safety Analysis Using Conditional Value-at-Risk
- Robust constrained model predictive control using linear matrix inequalities
- Sample average approximation for stochastic programming with equality constraints
- Sequential convex programming for non-linear stochastic optimal control
- Some properties of the value function and its level sets for affine control systems with quadratic cost
- Subgradient methods for saddle-point problems
This page was built for publication: A gradient descent-ascent method for continuous-time risk-averse optimal control
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6930759)