Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Risk-Averse Stochastic Optimal Control: an efficiently computable
  statistical upper bound   In this paper, we discuss an application of the SDDP type algorithm to nested
risk-averse formulations of Stochastic Optimal Control (SOC) problems. We
propose a construction of a statistical upper bound for the optimal value of
risk-averse SOC problems. This outlines an approach to a solution of a long
standing problem in that area of research. The bound holds for a large class of
convex and monotone conditional risk mappings. Finally, we show the validity of
the statistical upper bound to solve a real-life stochastic hydro-thermal
planning problem.

16
The categories of this paper are: stat
27
The categories of this paper are: comp-gas
8
The categories of this paper are: hep-ex
0
The categories of this paper are: hep-ph
34
The categories of this paper are: chem-ph
18
The categories of this paper are: econ
5
The categories of this paper are: gr-qc
7
The categories of this paper are: hep-th
4
The categories of this paper are: cond-mat
11
The categories of this paper are: hep-lat
33
The categories of this paper are: plasm-ph
35
The categories of this paper are: mtrl-th
29
The categories of this paper are: funct-an
13
The categories of this paper are: quant-ph
31
The categories of this paper are: ao-sci
1
The categories of this paper are: cs