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math.OC2024
A Functional Model Method for Nonconvex Nonsmooth Conditional Stochastic Optimization
Andrzej Ruszczyński, Shangzhe Yang
We consider stochastic optimization problems involving an expected value of a nonlinear function of a base random vector and a conditional expectation of another function depending…
math.OC2023
Risk-Averse Control of Markov Systems with Value Function Learning
Andrzej Ruszczynski, Shangzhe Yang
We consider a control problem for a finite-state Markov system whose performance is evaluated by a coherent Markov risk measure. For each policy, the risk of a state is approximate…