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eess.SY2018★ 1 cited
Distributionally Robust Optimization for Sequential Decision Making
Zhi Chen, Pengqian Yu, William B. Haskell
The distributionally robust Markov Decision Process (MDP) approach asks for a distributionally robust policy that achieves the maximal expected total reward under the most adversar…
eess.SY2017
Approximate Value Iteration for Risk-aware Markov Decision Processes
Pengqian Yu, William B. Haskell, Huan Xu
We consider large-scale Markov decision processes (MDPs) with a risk measure of variability in cost, under the risk-aware MDPs paradigm. Previous studies showed that risk-aware MDP…