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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.OC2023★ 1 cited
Beyond discounted returns: Robust Markov decision processes with average and Blackwell optimality
Julien Grand-Clément, Marek Petrik, Nicolas Vieille
Robust Markov Decision Processes (RMDPs) are a widely used framework for sequential decision-making under parameter uncertainty. RMDPs have been extensively studied when the object…