Stochastic Control with Imperfect Models

DOI10.1137/060667049zbMath1161.93027OpenAlexW2027577301MaRDI QIDQ3629488

Vivek S. Borkar, Arnab K. Basu

Publication date: 27 May 2009

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

Full work available at URL: https://doi.org/10.1137/060667049

zbMATH Keywords

reproducing kernel Hilbert spacescontrolled diffusioncredit risksample complexityworst case performanceapproximation of linear programs

Mathematics Subject Classification ID

Semidefinite programming (90C22) Linear programming (90C05) Optimal stochastic control (93E20) Programming in abstract spaces (90C48)

Related Items (2)

From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming ⋮ Robustness to incorrect models and data-driven learning in average-cost optimal stochastic control

This page was built for publication: Stochastic Control with Imperfect Models