A Block Coordinate Ascent Algorithm for Mean-Variance Optimization

NeurIPS 2018 • Bo Liu • Tengyang Xie • Yangyang Xu • Mohammad Ghavamzadeh • Yin-Lam Chow • Daoming Lyu • Daesub Yoon

Risk management in dynamic decision problems is a primary concern in many fields, including financial investment, autonomous driving, and healthcare. The mean-variance function is one of the most widely used objective functions in risk management due to its simplicity and interpretability... (read more)

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