# Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty

arXiv: https://arxiv.org/abs/1711.03875 · HTML: https://mlsanity.com/paper/1711.03875/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 9 Nov 2017.

## Built on by (most cited first, 1 of 1)

- [Markov Decision Processes under Model Uncertainty](https://mlsanity.com/paper/2206.06109/) (2022)

## Abstract (arXiv)

We study robust stochastic optimization problems in the quasi-sure setting in discrete-time. The strategies in the multi-period-case are restricted to those taking values in a discrete set. The optimization problems under consideration are not concave. We provide conditions under which a maximizer exists. The class of problems covered by our robust optimization problem includes optimal stopping and semi-static trading under Knightian uncertainty.