论文标题
由非跨界措施驱动的最佳控制优化问题的概述
An overview of optimal control optimization problems driven by non-convexity measures
论文作者
论文摘要
最近，有关动态连贯风险度量的文献扩大了对风险敏感绩效评估的选择。一个运行的示例包括累积前景理论和风险的条件差异。它们大多数可以通常被解释为给定随机变量的非线性转换。非凸性属性暗示了许多数学复杂性和挑战。本文概述了动态编程最佳控制优化问题的最新发展，该问题由非凸度措施驱动。
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 optimization problems driven by non-convex measures.
