Open AccessOptimizing the CVaR via Sampling
Author(s) -
Aviv Tamar,
Yonatan Glassner,
Shie Mannor
Publication year - 2015
Publication title -
proceedings of the ... aaai conference on artificial intelligence
Language(s) - English
Resource type - Journals
eISSN - 2374-3468
pISSN - 2159-5399
DOI - 10.1609/aaai.v29i1.9561
Subject(s) - cvar , estimator , gradient descent , mathematical optimization , convergence (economics) , measure (data warehouse) , mathematics , expected shortfall , importance sampling , computer science , statistics , artificial intelligence , economics , monte carlo method , risk management , management , database , artificial neural network , economic growth