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arXiv · 2012.06111

An overview of optimal control optimization problems driven by non-convexity measures

Weixin Wang
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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.

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Weixin Wang. 2020-12-11. An overview of optimal control optimization problems driven by non-convexity measures. https://arxiv.org/abs/2012.06111

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