Distributionally robust stochastic optimal control

被引：0
|
作者：
Shapiro, Alexander [1 ]
Li, Yan [2 ]
机构：
[1] Georgia Inst Technol, Atlanta, GA 30332 USA
[2] Texas A&M Univ, College Stn, TX 77843 USA
来源：
OPERATIONS RESEARCH LETTERS | 2025年 / 60卷
关键词：
Stochastic optimal control; Dynamic equations distributional robustness; Game formulation; Risk measures;
D O I：
10.1016/j.orl.2024.107234
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
The main goal of this paper is to discuss construction of distributionally robust counterparts of stochastic optimal control problems. Randomized and non-randomized policies are considered. In particular necessary and sufficient conditions for existence of non-randomized policies are given.
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页数：6
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