Adaptive Bayesian distributionally robust optimal control with tractable reformulation, infinite-horizon consistency, finite-sample credibility guarantees, and a convergent Bellman-operator cutting-plane algorithm.
3.2 Asymptotic convergence of value function and optimal policy Recall that (2.11) in Section 2.2 assumes the existence of a solution ˆV ∗ N to the Bellman equation (2.10)
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Adaptive Distributionally Robust Optimal Control with Bayesian Ambiguity Sets
Adaptive Bayesian distributionally robust optimal control with tractable reformulation, infinite-horizon consistency, finite-sample credibility guarantees, and a convergent Bellman-operator cutting-plane algorithm.