EUROPT 2025
Abstract Submission

43. Dynamic Programming using Average-Value-at-Risk Criteria

Invited abstract in session MB-11: Optimal and stochastic optimal control 1, stream Optimal and stochastic optimal control.

Monday, 10:30-12:30
Room: B100/5017

Authors (first author is the speaker)

1. Kerem Ugurlu
Mathematics, Nazarbayev University

Abstract


We investigate dynamic programming equations on Averaga-Value-at-Risk (AVaR) using machine learning techniques and demonstrate several simulations. The dynamic programming equation on AVaR is specifically using a so called "state aggregation technique" that makes use of the sufficient statistic of the optimization problem. Via state aggregation, we present the "Markovian" framework and demonstrate several implementations using fully connected neural networks. The risk averseness level alpha on the model is also investigated via several simulations.

Keywords

Status: accepted


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