Adaptive robust control under model uncertainty
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adaptive robust controladaptive robust dynamic programmingMarkovian control problemmodel uncertaintyoptimal portfolio allocationrecursive confidence regionsstochastic control
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Dynamic programming (90C39) Portfolio theory (91G10) Adaptive control/observation systems (93C40) Control/observation systems with incomplete information (93C41) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)
Abstract: In this paper we propose a new methodology for solving an uncertain stochastic Markovian control problem in discrete time. We call the proposed methodology the adaptive robust control. We demonstrate that the uncertain control problem under consideration can be solved in terms of associated adaptive robust Bellman equation. The success of our approach is to the great extend owed to the recursive methodology for construction of relevant confidence regions. We illustrate our methodology by considering an optimal portfolio allocation problem, and we compare results obtained using the adaptive robust control method with some other existing methods.
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- scientific article; zbMATH DE number 2134084
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Cited in
(31)- Adaptive control of a continuous time portfolio and consumption model
- Robust adaptive rejection of unknown deterministic disturbances
- Uncertainty structures in adaptive and robust stabilization
- Robust policy selection and harvest risk quantification for natural resources management under model uncertainty
- A transformation-proximal bundle algorithm for multistage adaptive robust optimization and application to constrained robust optimal control
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- scientific article; zbMATH DE number 2134084 (Why is no real title available?)
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