2 papers
math.OC2022
Data-Driven Nonparametric Robust Control under Dependence Uncertainty
Erhan Bayraktar, Tao Chen
We consider a multi-period stochastic control problem where the multivariate driving stochastic factor of the system has known marginal distributions but uncertain dependence struc…
math.OC2022
Nonparametric Adaptive Robust Control Under Model Uncertainty
Erhan Bayraktar, Tao Chen
We consider a discrete time stochastic Markovian control problem under model uncertainty. Such uncertainty not only comes from the fact that the true probability law of the underly…