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20232026
most citedData-driven Approximation of Distributionally Robust Chance Constraints using Bayesian Credible Intervals

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math.OC2024

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…