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math.OC2026
Non-Rectangular Average-Reward Robust MDPs: Optimal Policies and Their Transient Values
Shengbo Wang, Nian Si
We study non-rectangular robust Markov decision processes under the average-reward criterion, where the ambiguity set couples transition probabilities across states and the adversa…
math.OC2025
Bellman Optimality of Average-Reward Robust Markov Decision Processes with a Constant Gain
Shengbo Wang, Nian Si
Learning and optimal control under robust Markov decision processes (MDPs) have received increasing attention, yet most existing theory, algorithms, and applications focus on finit…
math.OC2024
Tractable Robust Markov Decision Processes
Julien Grand-Clément, Nian Si, Shengbo Wang
In this paper we investigate the tractability of robust Markov Decision Processes (RMDPs) under various structural assumptions on the uncertainty set. Surprisingly, we show that in…