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math.OC2023
Risk-Averse Control of Markov Systems with Value Function Learning
Andrzej Ruszczynski, Shangzhe Yang
We consider a control problem for a finite-state Markov system whose performance is evaluated by a coherent Markov risk measure. For each policy, the risk of a state is approximate…
math.OC2023★ 2 cited
Distributionally Robust Learning with Weakly Convex Losses: Convergence Rates and Finite-Sample Guarantees
Landi Zhu, Mert Gürbüzbalaban, Andrzej Ruszczyński
We consider a distributionally robust stochastic optimization problem and formulate it as a stochastic two-level composition optimization problem with the use of the mean--semidevi…