2 papers
math.OC2020
Simple and optimal methods for stochastic variational inequalities, II: Markovian noise and policy evaluation in reinforcement learning
Georgios Kotsalis, Guanghui Lan, Tianjiao Li
The focus of this paper is on stochastic variational inequalities (VI) under Markovian noise. A prominent application of our algorithmic developments is the stochastic policy evalu…
math.OC2020
Convex optimization for finite horizon robust covariance control of linear stochastic systems
Georgios Kotsalis, Guanghui Lan, Arkadi Nemirovski
This work addresses the finite-horizon robust covariance control problem for discrete-time, partially observable, linear system affected by random zero mean noise and deterministic…