2 papers
math.OC2026
Robust Markov Decision Processes on Continuous State Spaces
Mengmeng Li, Yifan Hu, Daniel Kuhn +1
We study infinite-horizon robust Markov decision processes (MDPs) on continuous state spaces with structured rectangular ambiguity set. The proposed ambiguity set falls within the…
math.OC2026
Sample Complexity for Markov Decision Processes and Stochastic Optimal Control with Static Risk Measures
Cristian Chávez, Yan Li
We present an elementary state augmentation method for a class of static risk measure applied to the total cost for both Markov decision processes (MDPs) and stochastic optimal con…