Stochastic Optimization in a Cumulative Prospect Theory Framework

DOI10.1109/TAC.2018.2822658MaRDI QIDQ4682345zbMATH OpenOpenAlexWikidataFDO

Authors Cheng Jie, L. A. Prashanth, Michael C. Fu, Steve Marcus, Csaba Szepesvári

Publication date 18 September 2018

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2018.2822658

Mathematics Subject Classification ID

Decision theory (91B06) Individual preferences (91B08) Stochastic approximation (62L20) Stochastic programming (90C15)

Cited in

(6)

• Efficient, optimal stochastic-action selection when limited by an action budget
• Risk-Sensitive Reinforcement Learning via Policy Gradient Search
• scientific article; zbMATH DE number 1985272 (Why is no real title available?)
• A stochastic user equilibrium formulation for the cumulative prospect theory-based cross-nested logit
• Price of correlations in stochastic optimization
• Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs

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