Related papers: Multistage Robust Average Randomized Spectral Risk…

Robust Markov Decision Processes (RMDPs) have recently been recognized as a valuable and promising approach to discovering a policy with creditable performance, particularly in the presence of a dynamic environment and estimation errors in…

Stochastic gradient descent (SGD) provides a simple and efficient way to solve a broad range of machine learning problems. Here, we focus on distribution regression (DR), involving two stages of sampling: Firstly, we regress from…

Financial portfolio management (PM) is one of the most applicable problems in reinforcement learning (RL) owing to its sequential decision-making nature. However, existing RL-based approaches rarely focus on scalability or reusability to…

Markov decision processes (MDPs) provide a standard framework for sequential decision making under uncertainty. However, MDPs do not take uncertainty in transition probabilities into account. Robust Markov decision processes (RMDPs) address…

Model Predictive Control (MPC) is widely recognized for its ability to explicitly handle system constraints. In practice, system states are often affected by disturbances with unknown distributions. While robust MPC guarantees constraint…

This paper investigates group distributionally robust optimization (GDRO) with the goal of learning a model that performs well over $m$ different distributions. First, we formulate GDRO as a stochastic convex-concave saddle-point problem,…

Stochastic and soft optimal policies resulting from entropy-regularized Markov decision processes (ER-MDP) are desirable for exploration and imitation learning applications. Motivated by the fact that such policies are sensitive with…

This paper proposes an algorithm to efficiently solve multistage stochastic programs with block separable recourse where each recourse problem is a multistage stochastic program with stage-wise independent uncertainty. The algorithm first…

In this paper, we present a multilevel Monte Carlo (MLMC) version of the Stochastic Gradient (SG) method for optimization under uncertainty, in order to tackle Optimal Control Problems (OCP) where the constraints are described in the form…

In this paper, we present a sequential sampling-based algorithm for the two-stage distributionally robust linear programming (2-DRLP) models. The 2-DRLP models are defined over a general class of ambiguity sets with discrete or continuous…

This paper considers the problem of finding near-optimal Markovian randomized (MR) policies for finite-state-action, infinite-horizon, constrained risk-sensitive Markov decision processes (CRSMDPs). Constraints are in the form of standard…

Sample average approximation--based stochastic dynamic programming (SDP) and model predictive control (MPC) are two different methods for approaching multistage stochastic optimization. In this paper we investigate the conditions under…

We consider distributionally robust optimization (DRO) problems, reformulated as distributionally robust feasibility (DRF) problems, with multiple expectation constraints. We propose a generic stochastic first-order meta-algorithm, where…

We develop multi-stage linear decision rules (LDRs) for dynamic power system generation and energy storage investment planning under uncertainty and propose their chance-constrained optimization with performance guarantees. First, the…

Approximate dynamic programming is a popular method for solving large Markov decision processes. This paper describes a new class of approximate dynamic programming (ADP) methods- distributionally robust ADP-that address the curse of…

Constrained Markov decision processes (CMDPs) model scenarios of sequential decision making with multiple objectives that are increasingly important in many applications. However, the model is often unknown and must be learned online while…

We consider a financial intermediary managing assets and liabilities exposed to several risk sources and seeking an optimal portfolio strategy to minimise the initial capital invested and the total risk associated with investment losses and…

In many sequential decision-making problems we may want to manage risk by minimizing some measure of variability in rewards in addition to maximizing a standard criterion. Variance related risk measures are among the most common…

Motivated by practical applications where stable long-term performance is critical-such as robotics, operations research, and healthcare-we study the problem of distributionally robust (DR) average-reward reinforcement learning. We propose…

This paper investigates the optimization problem of an infinite stage discrete time Markov decision process (MDP) with a long-run average metric considering both mean and variance of rewards together. Such performance metric is important…