2 papers
math.OC2026
Long-Run Conditional Value-at-Risk Reinforcement Learning
Qixin Wang, Hao Cao, Jian-Qiang Hu +2
Conditional value-at-risk (CVaR) is a prominent risk measure in financial engineering, energy systems, and supply chain management. In these domains, Markov decision processes (MDP…
math.OC2025
A kernel-based stochastic approximation framework for contextual optimization
Hao Cao, Jian-Qiang Hu, Jiaqiao Hu
We present a kernel-based stochastic approximation (KBSA) framework for solving contextual stochastic optimization problems with differentiable objective functions. The framework o…