On a generalization of the Dvoretzky-Wald-Wolfowitz theorem with an application to a robust optimization problem

DOI10.1016/j.jmaa.2018.09.002zbMath1400.90298arXiv1712.07577OpenAlexW2963759603WikidataQ129301995 ScholiaQ129301995MaRDI QIDQ1798985

Andrzej S. Nowak, Anna Jaśkiewicz

Publication date: 18 October 2018

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.07577

zbMATH Keywords

maxmin decision modelpurification of decision functionsrobust constrained optimization

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47)

Related Items

Sufficiency of Deterministic Policies for Atomless Discounted and Uniformly Absorbing MDPs with Multiple Criteria, Constrained Markov Decision Processes with Expected Total Reward Criteria

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stationary Markov perfect equilibria in risk sensitive stochastic overlapping generations models
• The bang-bang, purification and convexity principles in infinite dimensions
• Comments on purification in continuum games
• Elimination of randomization in statistical decision theory reconsidered
• On a useful compactification for optimal control problems
• An extension of the usual model in statistical decision theory with applications to stochastic optimization problems
• Convex analysis and measurable multifunctions
• Conditional expectation of correspondences and economic applications
• On a variational problem
• Nonatomic total rewards Markov decision processes with multiple criteria
• Stationary Markov perfect equilibria in discounted stochastic games
• The Dvoretzky-Wald-Wolfowitz theorem and purification in atomless finite-action games
• A variational problem arising in economics
• Integrals of set-valued functions
• Noisy Stochastic Games
• On the Dvoretzky–Wald–Wolfowitz Theorem on Nonrandomized Statistical Decisions
• Non-Randomized Markov and Semi-Markov Strategies in Dynamic Programming
• Measurable relations
• Regular Conditional Expectations of Correspondences
• Intégrandes normales et mesures paramétrées en calcul des variations
• Atomes conditionnels d'un espace de probabilité
• On a Theorem of Lyapunov
• Elimination of Randomization in Certain Problems of Statistics and of the Theory of Games
• Elimination of Randomization in Certain Statistical Decision Procedures and Zero-Sum Two-Person Games