Scaling Up Robust MDPs by Reinforcement Learning

The use of confidence or fiducial limits illustrated in the case of the binomial

C. Clopper and E. S. Pearson · 1934

Earlier work this paper cites.

Option pricing: A simplified approach

J. C. Cox, S. A. Ross, and M. Rubinstein · 1979

Earlier work this paper cites.

Markov decision processes: discrete stochastic dynamic programming

M. L. Puterman · 1994

Earlier work this paper cites.

Stable function approximation in dynamic programming

G. J. Gordon · 1995

Earlier work this paper cites.

Neuro-Dynamic Programming

D. P. Bertsekas and J. N. Tsitsiklis · 1996

Earlier work this paper cites.

Neuro-Dynamic Programming

D. P. Bertsekas and J. N. Tsitsiklis · 1996

Earlier work this paper cites.

Reinforcement Learning: An Introduction

R. S. Sutton and A. G. Barto · 1998

Earlier work this paper cites.

Solving uncertain Markov decision problems

A. Bagnell, A. Ng, and J. Schneider · 2001

Cited alongside, same era.

Regression methods for pricing complex american-style options

J. N. Tsitsiklis and B. Van Roy · 2001

Cited alongside, same era.

Technical update: Least-squares temporal difference learning

J. A. Boyan · 2002

Cited alongside, same era.

Least-squares policy iteration

M. G. Lagoudakis and R. Parr · 2003

Cited alongside, same era.

Robust dynamic programming

G. N. Iyengar · 2005

Cited alongside, same era.

Robust control of Markov decision processes with uncertain transition matrices

A. Nilim and L. El Ghaoui · 2005

Cited alongside, same era.

Bias and variance approximation in value function estimates

Projected equation methods for approximate solution of large linear systems

D. P. Bertsekas and H. Yu · 2009

Later among the works it cites.

Learning exercise policies for american options

Y. Li, C. Szepesvari, and D. Schuurmans · 2009

Later among the works it cites.

Fast gradient-descent methods for temporal-difference learning with linear function approximation

R. S. Sutton, H. R. Maei, D. Precup, S. Bhatnagar, D. Silver, C. Szepesvári, and E. Wiewiora · 2009

Later among the works it cites.

Convergence of least squares temporal difference methods under general conditions

Original

H. Yu · 2010

Later among the works it cites.

Approximate Dynamic Programming

W. B. Powell · 2011

Later among the works it cites.

Dynamic Programming and Optimal Control, Vol II

D. P. Bertsekas · 2012