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math.OC2025
Computational Hardness of Static Distributionally Robust Markov Decision Processes
Yan Li
We present some hardness results on finding the optimal policy for the static formulation of distributionally robust Markov decision processes. We construct problem instances such…
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…