Distributionally Robust Partially Observable Markov Decision Process with Moment-based Ambiguity
We consider a distributionally robust Partially Observable Markov Decision Process (DR-POMDP), where the distribution of the transition-observation probabilities is unknown at the beginning of each decision period, but their realizations can be inferred using side information at the end of each period after an action being taken. We build an ambiguity set of the joint … Read more