Risk-averse approximate dynamic programming with quantile-based risk measures

Business & Economics

• Approximate Dynamic Programming 90%
• Bidding 19%
• Conditional Value at Risk 23%
• Costs 7%
• Dynamic Risk Measures 33%
• Energy Storage 29%
• Finite Horizon 23%
• Importance Sampling 27%
• Markov Decision Process 23%
• Measure of Risk 46%
• Quantile 63%
• Risk Measures 61%
• Risk-averse 57%
• Sampling 21%
• Sequential Decisions 27%
• Simulation 13%
• Value at Risk 44%

Mathematics

• Approximate Dynamic Programming 100%
• Bidding 19%
• Conditional Value at Risk 17%
• Context 7%
• Costs 8%
• Data-driven 13%
• Decision problem 12%
• Energy Storage 20%
• Finite Horizon 14%
• Importance Sampling 14%
• Markov Decision Process 15%
• Minimise 9%
• Numerical Results 8%
• Quantile 60%
• Risk Measures 75%
• Simulation 7%
• Value at Risk 16%

Engineering & Materials Science

• Dynamic programming 59%
• Importance sampling 7%
• Markov processes 5%