4 papers · 1 filter
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…
Sample Average Approximation for Distributionally Robust Optimization with -divergences
Yan Li
It is well known that estimating the expectation of any given bounded random variable with values in has a sample complexity of that is independent…
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…
Distributionally robust stochastic optimal control
Alexander Shapiro, Yan Li
The main goal of this paper is to discuss the construction of distributionally robust counterparts of stochastic optimal control problems. Randomized and non-randomized policies ar…