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Robust Control of Markov Decision Processes with Uncertain Transition Matrices

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  1. Bren, Austin & Saghafian, Soroush, 2018. "Data-Driven Percentile Optimization for Multi-Class Queueing Systems with Model Ambiguity: Theory and Application," Working Paper Series rwp18-008, Harvard University, John F. Kennedy School of Government.
  2. Dimitrov, Nedialko B. & Dimitrov, Stanko & Chukova, Stefanka, 2014. "Robust decomposable Markov decision processes motivated by allocating school budgets," European Journal of Operational Research, Elsevier, vol. 239(1), pages 199-213.
  3. Alireza Boloori & Soroush Saghafian & Harini A. Chakkera & Curtiss B. Cook, 2020. "Data-Driven Management of Post-transplant Medications: An Ambiguous Partially Observable Markov Decision Process Approach," Manufacturing & Service Operations Management, INFORMS, vol. 22(5), pages 1066-1087, September.
  4. Muge Capan & Julie S. Ivy & James R. Wilson & Jeanne M. Huddleston, 2017. "A stochastic model of acute-care decisions based on patient and provider heterogeneity," Health Care Management Science, Springer, vol. 20(2), pages 187-206, June.
  5. Eckhause, Jeremy & Herold, Johannes, 2014. "Using real options to determine optimal funding strategies for CO2 capture, transport and storage projects in the European Union," Energy Policy, Elsevier, vol. 66(C), pages 115-134.
  6. Erick Delage & Shie Mannor, 2010. "Percentile Optimization for Markov Decision Processes with Parameter Uncertainty," Operations Research, INFORMS, vol. 58(1), pages 203-213, February.
  7. Zhao, Shuaidong & Zhang, Kuilin, 2020. "A distributionally robust stochastic optimization-based model predictive control with distributionally robust chance constraints for cooperative adaptive cruise control under uncertain traffic conditi," Transportation Research Part B: Methodological, Elsevier, vol. 138(C), pages 144-178.
  8. Rasouli, Mohammad & Saghafian, Soroush, 2018. "Robust Partially Observable Markov Decision Processes," Working Paper Series rwp18-027, Harvard University, John F. Kennedy School of Government.
  9. Soumyadip Ghosh & Henry Lam, 2019. "Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees," Operations Research, INFORMS, vol. 67(1), pages 232-249, January.
  10. Dan A. Iancu & Marek Petrik & Dharmashankar Subramanian, 2015. "Tight Approximations of Dynamic Risk Measures," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 655-682, March.
  11. Xiaoting Ji & Yifeng Niu & Lincheng Shen, 2016. "Robust Satisficing Decision Making for Unmanned Aerial Vehicle Complex Missions under Severe Uncertainty," PLOS ONE, Public Library of Science, vol. 11(11), pages 1-35, November.
  12. Shapiro, Alexander, 2012. "Minimax and risk averse multistage stochastic programming," European Journal of Operational Research, Elsevier, vol. 219(3), pages 719-726.
  13. Maximilian Blesch & Philipp Eisenhauer, 2023. "Robust Decision-Making under Risk and Ambiguity," Rationality and Competition Discussion Paper Series 463, CRC TRR 190 Rationality and Competition.
  14. Zahra Ghatrani & Archis Ghate, 2024. "Percentile optimization in multi-armed bandit problems," Annals of Operations Research, Springer, vol. 340(2), pages 837-862, September.
  15. D. Škulj & R. Hable, 2013. "Coefficients of ergodicity for Markov chains with uncertain parameters," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(1), pages 107-133, January.
  16. Li Xia, 2020. "Risk‐Sensitive Markov Decision Processes with Combined Metrics of Mean and Variance," Production and Operations Management, Production and Operations Management Society, vol. 29(12), pages 2808-2827, December.
  17. Zhu, Zhicheng & Xiang, Yisha & Zhao, Ming & Shi, Yue, 2023. "Data-driven remanufacturing planning with parameter uncertainty," European Journal of Operational Research, Elsevier, vol. 309(1), pages 102-116.
  18. Samuel N. Cohen & Tanut Treetanthiploet, 2019. "Gittins' theorem under uncertainty," Papers 1907.05689, arXiv.org, revised Jun 2021.
  19. Wolfram Wiesemann & Daniel Kuhn & Berç Rustem, 2013. "Robust Markov Decision Processes," Mathematics of Operations Research, INFORMS, vol. 38(1), pages 153-183, February.
  20. Zeynep Turgay & Fikri Karaesmen & Egemen Lerzan Örmeci, 2018. "Structural properties of a class of robust inventory and queueing control problems," Naval Research Logistics (NRL), John Wiley & Sons, vol. 65(8), pages 699-716, December.
  21. Shapiro, Alexander, 2021. "Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming," European Journal of Operational Research, Elsevier, vol. 288(1), pages 1-13.
  22. Boloori, Alireza & Saghafian, Soroush & Chakkera, Harini A. A. & Cook, Curtiss B., 2017. "Data-Driven Management of Post-transplant Medications: An APOMDP Approach," Working Paper Series rwp17-036, Harvard University, John F. Kennedy School of Government.
  23. V Varagapriya & Vikas Vikram Singh & Abdel Lisser, 2023. "Joint chance-constrained Markov decision processes," Annals of Operations Research, Springer, vol. 322(2), pages 1013-1035, March.
  24. Maximilian Blesch & Philipp Eisenhauer, 2021. "Robust decision-making under risk and ambiguity," Papers 2104.12573, arXiv.org, revised Oct 2021.
  25. Zeynep Turgay & Fikri Karaesmen & E. Örmeci, 2015. "A dynamic inventory rationing problem with uncertain demand and production rates," Annals of Operations Research, Springer, vol. 231(1), pages 207-228, August.
  26. Eli Gutin & Daniel Kuhn & Wolfram Wiesemann, 2015. "Interdiction Games on Markovian PERT Networks," Management Science, INFORMS, vol. 61(5), pages 999-1017, May.
  27. Andrew E. B. Lim & J. George Shanthikumar, 2007. "Relative Entropy, Exponential Utility, and Robust Dynamic Pricing," Operations Research, INFORMS, vol. 55(2), pages 198-214, April.
  28. Saghafian, Soroush, 2018. "Ambiguous partially observable Markov decision processes: Structural results and applications," Journal of Economic Theory, Elsevier, vol. 178(C), pages 1-35.
  29. Totaro, Simone & Boukas, Ioannis & Jonsson, Anders & Cornélusse, Bertrand, 2021. "Lifelong control of off-grid microgrid with model-based reinforcement learning," Energy, Elsevier, vol. 232(C).
  30. Shiau Hong Lim & Huan Xu & Shie Mannor, 2016. "Reinforcement Learning in Robust Markov Decision Processes," Mathematics of Operations Research, INFORMS, vol. 41(4), pages 1325-1353, November.
  31. Boris Defourny & Ilya O. Ryzhov & Warren B. Powell, 2015. "Optimal Information Blending with Measurements in the L 2 Sphere," Mathematics of Operations Research, INFORMS, vol. 40(4), pages 1060-1088, October.
  32. Maximilian Blesch & Philipp Eisenhauer, 2021. "Robust Decision-Making Under Risk and Ambiguity," ECONtribute Discussion Papers Series 104, University of Bonn and University of Cologne, Germany.
  33. Peter Buchholz & Dimitri Scheftelowitsch, 2019. "Computation of weighted sums of rewards for concurrent MDPs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 89(1), pages 1-42, February.
  34. Burhaneddin Sandıkçı & Lisa M. Maillart & Andrew J. Schaefer & Oguzhan Alagoz & Mark S. Roberts, 2008. "Estimating the Patient's Price of Privacy in Liver Transplantation," Operations Research, INFORMS, vol. 56(6), pages 1393-1410, December.
  35. Cohen, Asaf & Saha, Subhamay, 2021. "Asymptotic optimality of the generalized cμ rule under model uncertainty," Stochastic Processes and their Applications, Elsevier, vol. 136(C), pages 206-236.
  36. Yan, Yimo & Chow, Andy H.F. & Ho, Chin Pang & Kuo, Yong-Hong & Wu, Qihao & Ying, Chengshuo, 2022. "Reinforcement learning for logistics and supply chain management: Methodologies, state of the art, and future opportunities," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 162(C).
  37. Erim Kardeş & Fernando Ordóñez & Randolph W. Hall, 2011. "Discounted Robust Stochastic Games and an Application to Queueing Control," Operations Research, INFORMS, vol. 59(2), pages 365-382, April.
  38. Henry Lam, 2016. "Robust Sensitivity Analysis for Stochastic Systems," Mathematics of Operations Research, INFORMS, vol. 41(4), pages 1248-1275, November.
  39. Laura McLay & Casey Rothschild & Seth Guikema, 2012. "Robust Adversarial Risk Analysis: A Level- k Approach," Decision Analysis, INFORMS, vol. 9(1), pages 41-54, March.
  40. Schapaugh, Adam W. & Tyre, Andrew J., 2013. "Accounting for parametric uncertainty in Markov decision processes," Ecological Modelling, Elsevier, vol. 254(C), pages 15-21.
  41. Jose Blanchet & Karthyek Murthy, 2019. "Quantifying Distributional Model Risk via Optimal Transport," Mathematics of Operations Research, INFORMS, vol. 44(2), pages 565-600, May.
  42. Bakker, Hannah & Dunke, Fabian & Nickel, Stefan, 2020. "A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice," Omega, Elsevier, vol. 96(C).
  43. David L. Kaufman & Andrew J. Schaefer, 2013. "Robust Modified Policy Iteration," INFORMS Journal on Computing, INFORMS, vol. 25(3), pages 396-410, August.
  44. Henry Lam, 2018. "Sensitivity to Serial Dependency of Input Processes: A Robust Approach," Management Science, INFORMS, vol. 64(3), pages 1311-1327, March.
  45. Andrew J. Keith & Darryl K. Ahner, 2021. "A survey of decision making and optimization under uncertainty," Annals of Operations Research, Springer, vol. 300(2), pages 319-353, May.
  46. Henry Lam & Clementine Mottet, 2017. "Tail Analysis Without Parametric Models: A Worst-Case Perspective," Operations Research, INFORMS, vol. 65(6), pages 1696-1711, December.
  47. Philip, R., 2020. "Estimating permanent price impact via machine learning," Journal of Econometrics, Elsevier, vol. 215(2), pages 414-449.
  48. Dirk Sierag & Rob Mei, 2016. "Single-leg choice-based revenue management: a robust optimisation approach," Journal of Revenue and Pricing Management, Palgrave Macmillan, vol. 15(6), pages 454-467, December.
  49. Arthur Flajolet & Sébastien Blandin & Patrick Jaillet, 2018. "Robust Adaptive Routing Under Uncertainty," Operations Research, INFORMS, vol. 66(1), pages 210-229, January.
  50. Yongchao Liu & Alois Pichler & Huifu Xu, 2019. "Discrete Approximation and Quantification in Distributionally Robust Optimization," Mathematics of Operations Research, INFORMS, vol. 44(1), pages 19-37, February.
  51. Nicole Bauerle & Alexander Glauner, 2020. "Distributionally Robust Markov Decision Processes and their Connection to Risk Measures," Papers 2007.13103, arXiv.org.
  52. Michael Jong Kim & Andrew E.B. Lim, 2016. "Robust Multiarmed Bandit Problems," Management Science, INFORMS, vol. 62(1), pages 264-285, January.
  53. Nozhati, Saeed & Sarkale, Yugandhar & Chong, Edwin K.P. & Ellingwood, Bruce R., 2020. "Optimal stochastic dynamic scheduling for managing community recovery from natural hazards," Reliability Engineering and System Safety, Elsevier, vol. 193(C).
  54. Felipe Caro & Aparupa Das Gupta, 2022. "Robust control of the multi-armed bandit problem," Annals of Operations Research, Springer, vol. 317(2), pages 461-480, October.
  55. Huan Xu & Shie Mannor, 2012. "Distributionally Robust Markov Decision Processes," Mathematics of Operations Research, INFORMS, vol. 37(2), pages 288-300, May.
  56. Shie Mannor & Ofir Mebel & Huan Xu, 2016. "Robust MDPs with k -Rectangular Uncertainty," Mathematics of Operations Research, INFORMS, vol. 41(4), pages 1484-1509, November.
  57. Xin, Linwei & Goldberg, David A., 2021. "Time (in)consistency of multistage distributionally robust inventory models with moment constraints," European Journal of Operational Research, Elsevier, vol. 289(3), pages 1127-1141.
  58. Alexander Shapiro, 2016. "Rectangular Sets of Probability Measures," Operations Research, INFORMS, vol. 64(2), pages 528-541, April.
  59. Michael Jong Kim, 2016. "Robust Control of Partially Observable Failing Systems," Operations Research, INFORMS, vol. 64(4), pages 999-1014, August.
  60. Aharon Ben-Tal & Elad Hazan & Tomer Koren & Shie Mannor, 2015. "Oracle-Based Robust Optimization via Online Learning," Operations Research, INFORMS, vol. 63(3), pages 628-638, June.
  61. Varagapriya, V & Singh, Vikas Vikram & Lisser, Abdel, 2024. "Rank-1 transition uncertainties in constrained Markov decision processes," European Journal of Operational Research, Elsevier, vol. 318(1), pages 167-178.
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