Adaptive Bayesian distributionally robust optimal control with tractable reformulation, infinite-horizon consistency, finite-sample credibility guarantees, and a convergent Bellman-operator cutting-plane algorithm.
Using the closed-form solution (6.1), we approximate the benchmark value functionV ∗ with 105 samples
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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.