Bounding the difference between the values of robust and non-robust Markov decision problems

• Main Authors: Neufeld, Ariel, Sester, Julian
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2025
• Subjects: Mathematical Sciences; Markov decision process; Wasserstein uncertainty
• Online Access: https://hdl.handle.net/10356/182688
• Institution: Nanyang Technological University

In this note we provide an upper bound for the difference between the value function of a distributionally robust Markov decision problem and the value function of a non-robust Markov decision problem, where the ambiguity set of probability kernels of the distributionally robust Markov decision p...