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math.OC2024
Robust Data-driven Prescriptiveness Optimization
Mehran Poursoltani, Erick Delage, Angelos Georghiou
The abundance of data has led to the emergence of a variety of optimization techniques that attempt to leverage available side information to provide more anticipative decisions. T…
math.OC2024
On Dynamic Programming Decompositions of Static Risk Measures in Markov Decision Processes
Jia Lin Hau, Erick Delage, Mohammad Ghavamzadeh +1
Optimizing static risk-averse objectives in Markov decision processes is difficult because they do not admit standard dynamic programming equations common in Reinforcement Learning…