Stochastic Control with Imperfect Models

DOI10.1137/060667049MaRDI QIDQ3629488zbMATHOpenAlexFDO

Authors Arnab Basu, Vivek Borkar

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 spacescredit riskcontrolled diffusionsample complexityworst case performanceapproximation of linear programs

Mathematics Subject Classification ID

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

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