Distributionally robust modeling of optimal control |
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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: | The aim of this paper is to formulate several questions related to distributionally robust Stochastic Optimal Control modeling. As an example the distributionally robust counterpart of the classical inventory model is discussed in details. Finite and infinite horizon stationary settings are considered. |
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| Keywords: | Optimal control Distributional robustness Risk measures Rectangularity Inventory model |
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