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math.OC2024
Dynamic Programming-Compatible Uncertainty Sets in Robust Markov Decision Processes
Julien Grand-Clément, Nian Si, Shengbo Wang
In this paper, we investigate the compatibility of robust Markov Decision Processes (RMDPs) with dynamic programming under various assumptions on the uncertainty set, i.e., we inve…
math.OC2024
An Efficient High-Dimensional Gradient Estimator for Stochastic Differential Equations
Shengbo Wang, Jose Blanchet, Peter Glynn
Overparameterized stochastic differential equation (SDE) models have achieved remarkable success in various complex environments, such as PDE-constrained optimization, stochastic c…
stat.ML2024
Learning Optimal Distributionally Robust Stochastic Control in Continuous State Spaces
Shengbo Wang, Jason Meng, Nian Si +2
We study data-driven learning of robust stochastic control for infinite-horizon systems with potentially continuous state and action spaces. In many managerial settings--supply cha…