Distributionally Robust Markov Decision Processes

@article{Xu2010DistributionallyRM,
  title={Distributionally Robust Markov Decision Processes},
  author={Huan Xu and Shie Mannor},
  journal={Math. Oper. Res.},
  year={2010},
  volume={37},
  pages={288-300}
}
We consider Markov decision processes where the values of the parameters are uncertain. This uncertainty is described by a sequence of nested sets (that is, each set contains the previous one), each of which corresponds to a probabilistic guarantee for a different confidence level. Consequently, a set of admissible probability distributions of the unknown parameters is specified. This formulation models the case where the decision maker is aware of and wants to exploit some (yet imprecise) a… CONTINUE READING

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