Open access
Aug 2026
A Bayesian composite risk approach for stochastic optimal control and Markov decision processes
The new modeling paradigm subsumes several classical SOC/MDP formulations, including risk-averse and distributionally robust SOC/MDPs as well as partially observed and Bayes-adaptive MDPs, and generates so-called preference robust SOC/MDP models.
Wentao Ma, Zhi-Ping Chen, Huifu Xu
· Mathematical programming · 1 citation