Robust Data-Driven Dynamic Programming

NeurIPS 2013 Grani Adiwena HanasusantoDaniel Kuhn

In stochastic optimal control the distribution of the exogenous noise is typically unknown and must be inferred from limited data before dynamic programming (DP)-based solution schemes can be applied. If the conditional expectations in the DP recursions are estimated via kernel regression, however, the historical sample paths enter the solution procedure directly as they determine the evaluation points of the cost-to-go functions... (read more)

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