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Creators/Authors contains: "Tao Chen"

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  1. ; ; (, Stochastic Analysis, Filtering, and Stochastic Optimization)
    Yin, G.; Zariphopoulou, T. (Ed.)
    In this paper we study a class of risk-sensitive Markovian control problems in discrete time subject to model uncertainty. We consider a risk-sensitive discounted cost criterion with finite time horizon. The used methodology is the one of adaptive robust control combined with machine learning. 
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