Distributionally robust stochastic optimal control

DOI10.1016/J.ORL.2024.107234MaRDI QIDQ6988123zbMATH OpenFDO

Authors Alexander Shapiro, Yan Li

Publication date 6 May 2025

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

Full work available at URL https://doi.org/10.1016/J.ORL.2024.107234

zbMATH Keywords

dynamic equations distributional robustnessgame formulationrisk measuresstochastic optimal control

Mathematics Subject Classification ID

Robustness in mathematical programming (90C17) Markov and semi-Markov decision processes (90C40) Applications of game theory (91A80) Statistical methods; risk measures (91G70) Optimal stochastic control (93E20)

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