14 citations · 135 across the 33 of their papers we have counts for
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math.OC2015★ 1 cited
Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures
Daniel R. Jiang, Warren B. Powell
In this paper, we consider a finite-horizon Markov decision process (MDP) for which the objective at each stage is to minimize a quantile-based risk measure (QBRM) of the sequence…
math.OC2015
Regularized Decomposition of High-Dimensional Multistage Stochastic Programs with Markov Uncertainty
Tsvetan Asamov, Warren B. Powell
We develop a quadratic regularization approach for the solution of high-dimensional multistage stochastic optimization problems characterized by a potentially large number of time…