Distributionally robust modeling of optimal control

被引：0
|
作者：
Shapiro, Alexander [1 ]
机构：
[1] Georgia Inst Technol, Sch Ind & Syst Engn, Atlanta, GA 30332 USA
来源：
OPERATIONS RESEARCH LETTERS | 2022年 / 50卷 / 05期
关键词：
Optimal control; Distributional robustness; Risk measures; Rectangularity; Inventory model;
D O I：
10.1016/j.orl.2022.08.002
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
The aim of this paper is to formulate several questions related to distributionally robust Stochastic Optimal Control modeling. As an example the distributionally robust counterpart of the classical inventory model is discussed in details. Finite and infinite horizon stationary settings are considered. (c) 2022 Elsevier B.V. All rights reserved.
引用
收藏
页码：561 / 567
页数：7
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