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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…
eess.SY2015★ 4 cited
Distributionally Robust Counterpart in Markov Decision Processes
Pengqian Yu, Huan Xu
This paper studies Markov Decision Processes under parameter uncertainty. We adapt the distributionally robust optimization framework, and assume that the uncertain parameters are…