Yan Li

collaborators

3 papers

math.OC2026

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.OC2026

Sample Average Approximation for Distributionally Robust Optimization with $I ¨ $ -divergences

Yan Li

It is well known that estimating the expectation of any given bounded random variable with values in $[- B, B]$ has a sample complexity of $O (B^{2} / I^µ^{2})$ that is independent…

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…

Computational Hardness of Static Distributionally Robust Markov Decision Processes

Sample Average Approximation for Distributionally Robust Optimization with I¨-divergences

Risk-averse formulations of Stochastic Optimal Control and Markov Decision Processes

Sample Average Approximation for Distributionally Robust Optimization with $I ¨ $ -divergences