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We propose a policy gradient algorithm for robust infinite-horizon Markov Decision Processes (MDPs) with non-rectangular uncertainty sets, thereby addressing an open challenge in the robust MDP literature. Indeed, uncertainty sets that display statistical ...
Biogenic secondary organic aerosol (BSOA) contributes significantly to summertime organic particulate matter. In this study, a simulation of BSOA for summer 2012 over China is performed using the Community Multiscale Air Quality model with an explicit repr ...
We study a stochastic program where the probability distribution of the uncertain problem parameters is unknown and only indirectly observed via finitely many correlated samples generated by an unknown Markov chain with d states. We propose a data-driven d ...