Toward a Scalable Upper Bound for a CVaR-LQ Problem
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DOI: 10.1109/lcsys.2021.3086842
Abstract: We study a linear-quadratic, optimal control problem on a discrete, finite time horizon with distributional ambiguity, in which the cost is assessed via Conditional Value-at-Risk (CVaR). We take steps toward deriving a scalable dynamic programming… read more here.
Keywords: problem; toward scalable; scalable upper; bound cvar ... See more keywords