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math.OC2025
Central Limit Theorems for Sample Average Approximations in Stochastic Optimal Control
Johannes Milz, Alexander Shapiro
We establish central limit theorems for the Sample Average Approximation (SAA) method in discrete-time, finite-horizon stochastic optimal control. Our analysis is based on an abstr…
math.OC2025
Risk-averse formulations of Stochastic Optimal Control and Markov Decision Processes
Alexander Shapiro, Yan Li
The aim of this paper is to investigate risk-averse and distributionally robust modeling of Stochastic Optimal Control (SOC) and Markov Decision Process (MDP). We discuss construct…