3 papers
math.OC2026
Bounds for multi-horizon stochastic optimization with application to power generation and transmission expansion planning
Giovanni Micheli, V Varagapriya, Francesca Maggioni +1
This paper investigates computationally efficient methods for deriving bounds on the optimal value of multi-horizon stochastic optimization problems, with a particular focus on app…
math.OC2025
Convex Approximations of Random Constrained Markov Decision Processes
V Varagapriya, Vikas Vikram Singh, Abdel Lisser
Constrained Markov decision processes (CMDPs) are used as a decision-making framework to study the long-run performance of a stochastic system. It is well-known that a stationary o…
math.OC2025
Transition Uncertainties in Constrained Markov Decision Models: A Robust Optimization Approach
V Varagapriya
We examine a constrained Markov decision process under uncertain transition probabilities, with the uncertainty modeled as deviations from observed transition probabilities. We con…