Robust Markov Decision Processes: Beyond Rectangularity
References
- [1] (2019) The operator approach to entropy games. Theory Comput. Systems 63(5):1089–1130.Crossref, Google Scholar
- [2] (2010) Markov decision processes: A tool for sequential decision making under uncertainty. Medical Decision Making 30(4):474–483.Crossref, Google Scholar
- [3] (2000) Robust solutions of linear programming problems contaminated with uncertain data. Math. Programming 88(3):411–424.Crossref, Google Scholar
- [4] (2001) Lectures on Modern Convex Optimization: Analysis, Algorithms, and Engineering Applications, vol. 2 (SIAM, Philadelphia, PA).Crossref, Google Scholar
- [5] (2011) Dynamic Programming and Optimal Control. 3rd ed., vol. 2 (Athena Scientific, Belmont, MA).Google Scholar
- [6] (2004) The price of robustness. Oper. Res. 52(1):35–53.Link, Google Scholar
- [7] (2006) Robust and Data-Driven Optimization: Modern Decision Making Under Uncertainty. Models, Methods, and Applications for Innovative Decision Making. INFORMS TutORials in Operations Research, 95–122.Google Scholar
- [8] (2019) Optimal stopping for medical treatment with predictive information. Preprint, submitted June 13, https://dx.doi.org/10.2139/ssrn.3397530.Google Scholar
- [9] (2010) Percentile optimization for Markov decision processes with parameter uncertainty. Oper. Res. 58(1):203–213.Link, Google Scholar
- [10] (2019) State aggregation learning from Markov transition data. Wallach H, Larochelle H, Beygelzimer A, d’Alché-Buc F, Fox E, Garnett r, eds. Advances in Neural Information Processing Systems, vol. 32 (Curran Associates, Inc., Red Hook, New York). https://proceedings.neurips.cc/paper/2019/file/070dbb6024b5ef93784428afc71f2146-Paper.pdf.Google Scholar
- [11] (2003) Recursive multiple-priors. J. Econom. Theory 113(1):1–31.Crossref, Google Scholar
- [12] (2012) Handbook of Markov Decision Processes: Methods and Applications, vol. 40 (Springer Science & Business Media, Boston).Google Scholar
- [13] (1998) A non-linear hierarchy for discrete event dynamical systems. Proc. 4th Workshop Discrete Event Systems, Cagliari, Italy, vol. 98.Google Scholar
- [14] (2000) Bounded-parameter Markov decision processes. Artificial Intelligence 122(1–2):71–109.Google Scholar
- [15] (2018) Data uncertainty in Markov chains: Application to cost-effectiveness analyses of medical innovations. Oper. Res. 66(3):697–715.Link, Google Scholar
- [16] (2020) Robust policies for proactive ICU transfers. Preprint, submitted February 14, https://arxiv.org/abs/2002.06247.Google Scholar
- [17] (2018) Fast Bellman updates for robust MDPs. Dy J, Krause A, eds. Proc. 35th Internat. Conf. Machine Learn. Proceedings of Machine Learning Research Series, July 10–15, vol. 80 (PMLR), 1979–1988. http://proceedings.mlr.press/v80/ho18a/ho18a.pdf.Google Scholar
- [18] (2021) Partial policy iteration for l1-robust Markov decision processes. J. Machine Learn. Res. 22(275):1–46.Google Scholar
- [19] (1985) Sensitivity-analysis in discounted Markovian decision problems. Oper. Res. Spektrum 7(3):143–151.Crossref, Google Scholar
- [20] (2005) Robust dynamic programming. Math. Oper. Res. 30(2):257–280.Link, Google Scholar
- [21] (2016) Robust MDPs with k-rectangular uncertainty. Math. Oper. Res. 41(4):1484–1509.Link, Google Scholar
- [22] (2005) Robust control of Markov decision processes with uncertain transition probabilities. Oper. Res. 53(5):780–798.Link, Google Scholar
- [23] (1994) Markov Decision Processes: Discrete Stochastic Dynamic Programming (John Wiley & Sons, New York).Crossref, Google Scholar
- [24] (2009) A Primer on Pontryagin’s Principle in Optimal Control (Collegiate Publications, Carmel, CA).Google Scholar
- [25] (1973) Markov decision processes with uncertain transition probabilities. Oper. Res. 21(3):728–740.Link, Google Scholar
- [26] (2005) Modeling medical treatment using Markov decision processes. Brandeau ML, Sainfort F, Pierskalla WP, eds. Operations Research and Health Care, International Series in Operations Research & Management Science, vol. 70 (Springer, Boston), 593–612.Crossref, Google Scholar
- [27] (2017) Markov decision processes for screening and treatment of chronic diseases. Boucherie R, van Dijk N eds. Markov Decision Processes in Practice, International Series in Operations Research & Management Science, vol. 248 (Springer, Cham, Switzerland), 189–222.Crossref, Google Scholar
- [28] (2013) Robust Markov decision processes. Oper. Res. 38(1)153–183.Abstract, Google Scholar
- [29] (2013) A block coordinate descent method for regularized multiconvex optimization with applications to nonnegative tensor factorization and completion. SIAM J. Imaging Sci. 6(3)1758–1789.Crossref, Google Scholar

