Distributionally robust stochastic optimal control
Fuente:
arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866909347217408000 |
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| author | Shapiro, Alexander Li, Yan |
| author_facet | Shapiro, Alexander Li, Yan |
| contents | The main goal of this paper is to discuss the construction of distributionally robust counterparts of stochastic optimal control problems. Randomized and non-randomized policies are considered. In particular, necessary and sufficient conditions for the existence of non-randomized policies are given. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2406_05648 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Distributionally robust stochastic optimal control Shapiro, Alexander Li, Yan Optimization and Control The main goal of this paper is to discuss the construction of distributionally robust counterparts of stochastic optimal control problems. Randomized and non-randomized policies are considered. In particular, necessary and sufficient conditions for the existence of non-randomized policies are given. |
| title | Distributionally robust stochastic optimal control |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2406.05648 |