• Corpus ID: 228375900

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

  title={An overview of optimal control optimization problems driven by non-convexity measures},
  author={Weixin Wang},
  journal={arXiv: Optimization and Control},
  • Weixin Wang
  • Published 11 December 2020
  • Computer Science
  • arXiv: Optimization and Control
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… 



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On the Theory of Dynamic Programming.

  • R. Bellman
  • Mathematics
    Proceedings of the National Academy of Sciences of the United States of America
  • 1952
This paper is the text of an invited address before the annual summer meeting of the American Mathematical Society at Laramie, Wyoming, September 2, 1954, of an expository nature on the theory of dynamic programming.