most citedDistributionally Robust Optimization with Markovian Data

2 citations · 4 across the 2 of their papers we have counts for

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2 papers

math.OC2023★ 2 cited

Policy Gradient Algorithms for Robust MDPs with Non-Rectangular Uncertainty Sets

Mengmeng Li, Daniel Kuhn, Tobias Sutter

We propose policy gradient algorithms for robust infinite-horizon Markov decision processes (MDPs) with non-rectangular uncertainty sets, thereby addressing an open challenge in th…

math.OC2021★ 2 cited

Distributionally Robust Optimization with Markovian Data

Mengmeng Li, Tobias Sutter, Daniel Kuhn

We study a stochastic program where the probability distribution of the uncertain problem parameters is unknown and only indirectly observed via finitely many correlated samples ge…