Robust feedback switching control: dynamic programming and viscosity solutions

DOI10.1137/15M1046903zbMATH Open1347.49042arXiv1409.6233OpenAlexW2949413837MaRDI QIDQ2822795FDOQ2822795

Authors: Erhan Bayraktar, Andrea Cosso, Huyên Pham 

Publication date: 5 October 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: We consider a robust switching control problem. The controller only observes the evolution of the state process, and thus uses feedback (closed-loop) switching strategies, a non standard class of switching controls introduced in this paper. The adverse player (nature) chooses open-loop controls that represent the so-called Knightian uncertainty, i.e., misspecifications of the model. The (half) game switcher versus nature is then formulated as a two-step (robust) optimization problem. We develop the stochastic Perron method in this framework, and prove that it produces a viscosity sub and supersolution to a system of Hamilton-Jacobi-Bellman (HJB) variational inequalities, which envelope the value function. Together with a comparison principle, this characterizes the value function of the game as the unique viscosity solution to the HJB equation, and shows as a byproduct the dynamic programming principle for robust feedback switching control problem.

Full work available at URL: https://arxiv.org/abs/1409.6233

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zbMATH Keywords

model uncertaintyviscosity solutionsstochastic gamesoptimal switchingfeedback strategiesstochastic Perron methoddynamic programming principleHamilton-Jacobi-Bellman variational inequalities

Mathematics Subject Classification ID

2-person games (91A05) Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15)

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Cited In (18)

• On the controller-stopper problems with controlled jumps
• Nonparametric Adaptive Robust Control under Model Uncertainty
• Robust Dividend, Financing, and Reinsurance Strategies Under Model Uncertainty with Proportional Transaction Costs
• Lifetime ruin under high-water mark fees and drift uncertainty
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• An augmented BV setting for feedback switching control
• A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
• Non-Markovian impulse control under nonlinear expectation
• Transfer of a dynamic object onto the surface of an ellipsoid
• Robust Optimal Switching Control for Nonlinear Systems
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• A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time
• Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities
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