Coherent Risk-Adjusted Decisions over Time: a Bilevel Programming Approach (Renewal)
Technical Report,15 Jul 2015,14 Jul 2019
RUTGERS, THE STATE UNIVERSITY OF NEW JERSEY NEWARK United States
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This report details the research performed under AFOSR grant FA9550-15-1-0251. We investigated and published peer reviewed papers concerning the following topics risk-averse control of various kinds of stochastic systems, risk measurement of partially observable Markov processes, fundamental modeling issues risk-averse optimization over time, numerical methods for large-scale non-differentiable optimization, and application of operations-research-related optimization techniques to problems in machine learning.
- Operations Research