Supplementary Material for Lightning Does Not Strike Twice: Robust MDPs with Coupled Uncertainty
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Lightning Does Not Strike Twice: Robust MDPs with Coupled Uncertainty
We consider Markov decision processes under parameter uncertainty. Previous studies all restrict to the case that uncertainties among different states are uncoupled, which leads to conservative solutions. In contrast, we introduce an intuitive concept, termed “Lightning Does not Strike Twice,” to model coupled uncertain parameters. Specifically, we require that the system can deviate from its n...
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