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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…
Bayesian distributionally robust variational inequalities: regularization and quantification
Wentao Ma, Zhiping Chen, Xiaojun Chen
We propose a Bayesian distributionally robust variational inequality (DRVI) framework that models the data-generating distribution through a finite mixture family, which allows us…
A Bayesian Composite Risk Approach for Stochastic Optimal Control and Markov Decision Processes
Wentao Ma, Zhiping Chen, Huifu Xu
Inspired by Shapiro et al.~\cite{shapiro2023episodic}, we consider a stochastic optimal control (SOC) and Markov decision process (MDP) where the risks arising from epistemic and a…
Data-driven Approximation of Distributionally Robust Chance Constraints using Bayesian Credible Intervals
Zhiping Chen, Wentao Ma, Bingbing Ji
The non-convexity and intractability of distributionally robust chance constraints make them challenging to cope with. From a data-driven perspective, we propose formulating it as…