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

DOI10.1016/J.JMAA.2018.09.002MaRDI QIDQ1798985zbMATH OpenOpenAlexWikidataFDO

Authors Anna Jaskiewicz, Andrzej S. Nowak

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)

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.

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Cited in

(5)

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

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