120 citations · 370 across the 36 of their papers we have counts for
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math.OC2018★ 120 cited
Wasserstein Distributionally Robust Stochastic Control: A Data-Driven Approach
Insoon Yang
Standard stochastic control methods assume that the probability distribution of uncertain variables is available. Unfortunately, in practice, obtaining accurate distribution inform…
math.OC2018★ 3 cited
A Convex Optimization Approach to Dynamic Programming in Continuous State and Action Spaces
Insoon Yang
In this paper, a convex optimization-based method is proposed for numerically solving dynamic programs in continuous state and action spaces. The key idea is to approximate the out…
math.OC2018★ 4 cited
Safety-Aware Optimal Control of Stochastic Systems Using Conditional Value-at-Risk
Samantha Samuelson, Insoon Yang
In this paper, we consider a multi-objective control problem for stochastic systems that seeks to minimize a cost of interest while ensuring safety. We introduce a novel measure of…