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math.OC2022★ 1 cited
Markov Decision Processes under Model Uncertainty
Ariel Neufeld, Julian Sester, Mario Šikić
We introduce a general framework for Markov decision problems under model uncertainty in a discrete-time infinite horizon setting. By providing a dynamic programming principle we o…
math.OC2017
Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty
Ariel Neufeld, Mario Sikic
We study robust stochastic optimization problems in the quasi-sure setting in discrete-time. The strategies in the multi-period-case are restricted to those taking values in a disc…