Distributionally robust chance-constrained Markov decision processes with random payoff
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Cites work
- A distributionally robust perspective on uncertainty quantification and chance constrained programming
- A variational approach to copositive matrices
- Bias and variance approximation in value function estimates
- Constrained Markov decision processes with uncertain costs
- Data-driven chance constrained stochastic program
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Data-driven nonparametric robust control under dependence uncertainty
- Data-Driven Optimization of Reward-Risk Ratio Measures
- Data-driven risk-averse stochastic optimization with Wasserstein metric
- Distributionally Robust Chance Constrained Geometric Optimization
- Distributionally robust chance-constrained games: existence and characterization of Nash equilibrium
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Distributionally robust optimization. A review on theory and applications
- Distributionally robust stochastic knapsack problem
- Distributionally Robust Stochastic Optimization with Wasserstein Distance
- scientific article; zbMATH DE number 1348599 (Why is no real title available?)
- Joint chance-constrained Markov decision processes
- Markov Decision Processes with Imprecise Transition Probabilities
- Nonparametric Adaptive Robust Control under Model Uncertainty
- On distributionally robust chance constrained programs with Wasserstein distance
- On distributionally robust chance-constrained linear programs
- On duality theory of conic linear problems.
- On general minimax theorems
- Optimal Transport
- Percentile Optimization for Markov Decision Processes with Parameter Uncertainty
- Robust Control of Markov Decision Processes with Uncertain Transition Matrices
- Robust Dynamic Programming
- Robust Markov Decision Processes
- Robust Mean-Covariance Solutions for Stochastic Optimization
- Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance
- Structural properties of linear probabilistic constraints
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
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