3 citations · 8 across the 13 of their papers we have counts for
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math.OC2024★ 1 cited
Non-concave stochastic optimal control in finite discrete time under model uncertainty
Ariel Neufeld, Julian Sester
In this article we present a general framework for non-concave robust stochastic control problems under model uncertainty in a discrete time finite horizon setting. Our framework a…
math.OC2023★ 3 cited
Bounding the Difference between the Values of Robust and Non-Robust Markov Decision Problems
Ariel Neufeld, Julian Sester
In this note we provide an upper bound for the difference between the value function of a distributionally robust Markov decision problem and the value function of a non-robust Mar…
math.OC2022★ 1 cited
Markov Decision Processes under Model Uncertainty
Ariel Neufeld, Julian Sester, Mario Šikić
We introduce a general framework for Markov decision problems under model uncertainty in a discrete-time infinite horizon setting. By providing a dynamic programming principle we o…