Distributionally robust Optimal Control and MDP modeling |
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| Institution: | School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA 30332-0205, United States of America |
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| Abstract: | In this paper we discuss Optimal Control and Markov Decision Process (MDP) formulations of multistage optimization problems when the involved probability distributions are not known exactly, but rather are assumed to belong to specified ambiguity families. The aim of this paper is to clarify a connection between such distributionally robust approaches to multistage stochastic optimization. |
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| Keywords: | Markov Decision Process Bellman equations Distributional robustness Stochastic games Risk measures Rectangularity |
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