Distributionally Robust Optimal Control and MDP Modeling

Alexander Shapiro (ashapiroisye.gatech.edu)

Abstract: In this paper, we discuss Optimal Control and Markov Decision Process (MDP) formulations of multistage optimization problems when the involved probability distributions are not known exactly, but rather are assumed to belong to specified ambiguity families. The aim of this paper is to clarify a connection between such distributionally robust approaches to multistage stochastic optimization.

Keywords: Optimal Control, Markov Decision Process, dynamic programming, Bellman equations, distributional robustness, stochastic games, risk measures, rectangularity, duality

Category 1: Stochastic Programming

Category 2: Robust Optimization

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Entry Submitted: 04/28/2021
Entry Accepted: 04/28/2021
Entry Last Modified: 08/14/2021

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