A family of s-rectangular robust MDPs: relative conservativeness, asymptotic analyses, and finite-sample properties
DOI10.1137/23M1559920MaRDI QIDQ6495779FDOQ6495779
Authors: Sivaramakrishnan Ramani, Archis Ghate 
Publication date: 2 May 2024
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
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dynamic programmingdistributionally robust optimizationsample complexityvalue convergenceprobabilistic performance guarantees
Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40) Robustness in mathematical programming (90C17)
Cites Work
- Infinite dimensional analysis. A hitchhiker's guide.
- Robust Control of Markov Decision Processes with Uncertain Transition Matrices
- Robust Dynamic Programming
- Percentile Optimization for Markov Decision Processes with Parameter Uncertainty
- Robust Markov Decision Processes
- Markovian Decision Processes with Uncertain Transition Probabilities
- Title not available (Why is that?)
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Robust MDPs with \(k\)-rectangular uncertainty
- Toward theoretical understandings of robust Markov decision processes: sample complexity and asymptotics
- The Concise Encyclopedia of Statistics
- Robust Markov Decision Processes with Data-Driven, Distance-Based Ambiguity Sets
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