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

DOI10.1016/J.JMAA.2018.09.002zbMATH Open1400.90298arXiv1712.07577OpenAlexW2963759603WikidataQ129301995 ScholiaQ129301995MaRDI QIDQ1798985FDOQ1798985

Authors: Anna Jaskiewicz, Andrzej S. Nowak 

Publication date: 18 October 2018

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

Abstract: A generalization of the Dvoretzky-Wald-Wolfowitz theorem to the case of conditional expectations is provided assuming that the $sigma$-field on the state space has no conditional atoms.

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

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zbMATH Keywords

maxmin decision modelpurification of decision functionsrobust constrained optimization

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47)

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Cited In (5)

• On Markov perfect equilibria in discounted stochastic ARAT games
• On the Dvoretzky–Wald–Wolfowitz Theorem on Nonrandomized Statistical Decisions
• Sufficiency of deterministic policies for atomless discounted and uniformly absorbing MDPs with multiple criteria
• Conditional essential suprema with applications
• Constrained Markov decision processes with expected total reward criteria

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