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Stochastic control with imperfect models

Arnab Basu, Vivek S Borkar
Journal Name
Siam Journal of Computing and Optimization
Journal Publication
others
Publication Year
2008
Decision Sciences and Information Systems
Publication Date
Vol. 47, Issue No.3, PP 1274-1300, March 2008
Abstract

We consider the problem of worst case performance estimation for a stochastic dynamic model in the presence of model uncertainty. This is cast as a nonclassical controlled diffusion problem. An infinite dimensional linear programming formulation is given and its dual is derived. The dual is successively approximated on a bounded domain by a semi-infinite and a finite linear program.

Stochastic control with imperfect models

Author(s) Name: Arnab Basu, Vivek S Borkar
Journal Name: Siam Journal of Computing and Optimization
Volume: Vol. 47, Issue No.3, PP 1274-1300, March 2008
Year of Publication: 2008
Abstract:

We consider the problem of worst case performance estimation for a stochastic dynamic model in the presence of model uncertainty. This is cast as a nonclassical controlled diffusion problem. An infinite dimensional linear programming formulation is given and its dual is derived. The dual is successively approximated on a bounded domain by a semi-infinite and a finite linear program.