Distributionally robust optimization for sequential decision-making
نویسندگان
چکیده
منابع مشابه
Distributionally Robust Optimization for Sequential Decision Making
The distributionally robust Markov Decision Process approach has been proposed in the literature, where the goal is to seek a distributionally robust policy that achieves the maximal expected total reward under the most adversarial joint distribution of uncertain parameters. In this paper, we study distributionally robust MDP where ambiguity sets for uncertain parameters are of a format that ca...
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JUN-YA GOTOH, MICHAEL JONG KIM, AND ANDREW E.B. LIM Department of Industrial and Systems Engineering, Chuo University, Tokyo, Japan. Email: [email protected] Sauder School of Business, University of British Columbia, Vancouver, Canada. Email: [email protected] Departments of Decision Sciences and Finance, NUS Business School, National University of Singapore, Singapore. Email: andr...
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ژورنال
عنوان ژورنال: Optimization
سال: 2019
ISSN: 0233-1934,1029-4945
DOI: 10.1080/02331934.2019.1655738