Explicit solutions for multivariate, discrete-time control problems under uncertainty

DOI10.1016/S0167-6911(98)00002-4zbMath0909.93042OpenAlexW2043572825MaRDI QIDQ1274249

Paolo Dai Pra, Wolfgang J. Runggaldier, Lorenzo Meneghini

Publication date: 12 January 1999

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6911(98)00002-4

zbMATH Keywords

analytic solutionnormsdynamic programming methodmin-max controlexplicitly solvable modelslinear infinite dimensional models

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Discrete-time control/observation systems (93C55)

Related Items (4)

Risk measurement and risk-averse control of partially observable discrete-time Markov systems ⋮ Bayesian optimal control for a non-autonomous stochastic discrete time system ⋮ Concepts and methods for discrete and continuous time control under uncertainty ⋮ Process-based risk measures and risk-averse control of discrete-time systems

Cites Work

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• Probability methods for approximations in stochastic control and for elliptic equations
• Ellipsoidal calculus for estimation and control
• On the construction of nearly optimal strategies for a general problem of control of partially observed diffusions
• Convergence of discretization procedures in dynamic programming
• Approximations of Dynamic Programs, I

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