OPTIMAL CONTROL PROBLEM
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Date
2024-04-15
Authors
Kappar, Yerdaulet
Journal Title
Journal ISSN
Volume Title
Publisher
Nazarbayev University School of Sciences and Humanities
Abstract
This research paper delves into optimizing the Average Value at Risk (AVaR) using Approximate
Dynamic Programming (ADP) in the context of optimal control problems. The study focuses on
comparing different numerical optimization methods to achieve that. The methods include Bisection,
Gradient Descent, Simulated Annealing, and Conjugate Gradient. The purpose is to assess their
accuracy and computational effectiveness in optimizing AVaR function within discrete time, finite
horizon settings.
Description
Keywords
Type of access: Open Access, approximate dynamic programming, average value-at-risk, convex optimization, optimization techniques, stochastic modelling, Markov decision processes, optimal control
Citation
Kappar, Y. (2024). OPTIMAL CONTROL PROBLEM. Nazarbayev University School of Sciences and Humanities