JuliaStochOpt / StochDynamicProgramming.jl

A package for discrete-time optimal stochastic control
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Add possibility to compute risk #151

Closed Henri-Gerard closed 7 years ago

odow commented 7 years ago

We also need an upper bound evaluation (which is not the expectation).

How should one do this? At one point I implemented a bootstrapping method which ran a whole heap of monte-carlo simulations, then sampled a subset of those objective values (with replacement) to calculate a confidence interval for the risk-adjusted objective.

codecov-io commented 7 years ago

Codecov Report

Merging #151 into master will decrease coverage by 0.07%. The diff coverage is 95.65%.

Impacted file tree graph

@@            Coverage Diff             @@
##           master     #151      +/-   ##
==========================================
- Coverage   85.09%   85.01%   -0.08%     
==========================================
  Files          16       17       +1     
  Lines         825      854      +29     
==========================================
+ Hits          702      726      +24     
- Misses        123      128       +5
Impacted Files Coverage Δ
src/SDDPoptimize.jl 90.69% <ø> (-1.78%) :arrow_down:
src/stopcrit.jl 9.52% <0%> (-0.48%) :arrow_down:
src/objects.jl 94.91% <100%> (+0.47%) :arrow_up:
src/forwardBackwardIterations.jl 94.73% <100%> (-0.88%) :arrow_down:
src/risk.jl 97.43% <97.43%> (ø)
src/sdp.jl 85.82% <0%> (-0.21%) :arrow_down:

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