4 papers · 1 filter
Adaptive Distributionally Robust Optimal Control with Bayesian Ambiguity Sets
Wentao Ma, Zhiping Chen, Huifu Xu +1
In stochastic optimal control (SOC), uncertainty may arise from incomplete knowledge of the true probability distribution of the underlying environment, which is known as Knightian…
Meta-Learning the Optimal Mixture of Strategies for Online Portfolio Selection
Jiayu Shen, Jia Liu, Zhiping Chen
This paper presents an innovative online portfolio selection model, situated within a meta-learning framework, that leverages a mixture policies strategy. The core idea is to simul…
Learning complexity of gradient descent and conjugate gradient algorithms
Xianqi Jiao, Jia Liu, Zhiping Chen
Gradient Descent (GD) and Conjugate Gradient (CG) methods are among the most effective iterative algorithms for solving unconstrained optimization problems, particularly in machine…
A dynamical neural network approach for distributionally robust chance constrained Markov decision process
Tian Xia, Jia Liu, Zhiping Chen
In this paper, we study the distributionally robust joint chance constrained Markov decision process. {Utilizing the logarithmic transformation technique,} we derive its determinis…