An overview of optimal control optimization problems driven by non-convexity measures
Optimization and Control
2020-12-14 v1
Abstract
Recently, literature on dynamic coherent risk measures has broadened the choices for risk-sensitive performance evaluation. A running example includes Cumulative prospect theory and Conditional variance at risk. Most of them can be can be interpreted in general as a non-linear transformation of a given random variable. Non-convexity property has implied a lot of mathematical intricacies and challenges. The paper gives overview on the recent development of dynamic programming optimal control optimization problems driven by non-convex measures.
Cite
@article{arxiv.2012.06111,
title = {An overview of optimal control optimization problems driven by non-convexity measures},
author = {Weixin Wang},
journal= {arXiv preprint arXiv:2012.06111},
year = {2020}
}