Distributionally robust optimal control and MDP modeling

DOI10.1016/j.orl.2021.08.013OpenAlexW3198662740MaRDI QIDQ2060388

Alexander Shapiro

Publication date: 13 December 2021

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2021.08.013

zbMATH Keywords

Markov decision processstochastic gamesrisk measuresdistributional robustnessBellman equationsrectangularity

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (2)

A distributionally robust optimization model for batch nonlinear switched time-delay system considering uncertain output measurements ⋮ Distributionally robust modeling of optimal control

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• Robust Control of Markov Decision Processes with Uncertain Transition Matrices
• Optimization of Convex Risk Functions
• Robust Dynamic Programming
• Rectangular Sets of Probability Measures
• Stochastic Games
• Stochastic finance. An introduction in discrete time

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