Robust optimal control for minimax stochastic linear quadratic problem

DOI10.1080/00207170210156242zbMath1055.93076MaRDI QIDQ4803167

Tyrone E. Duncan, Vladimir G. Boltyanski, Bozenna Pasik-Duncan, Alexander S. Poznyak

Publication date: 2002

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207170210156242

zbMATH Keywords

Riccati equation; minimax optimal control; linear quadratic control; controlled drift; robust maximum principle

Mathematics Subject Classification ID

90C47: Minimax problems in mathematical programming

93E20: Optimal stochastic control

49N10: Linear-quadratic optimal control problems

Related Items

On the use of stochastic differential games against nature to ergodic control problems with unknown parameters, Optimization and robustness, Discounted robust control for Markov diffusion processes

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