Robust optimal control for minimax stochastic linear quadratic problem

DOI10.1080/00207170210156242zbMath1055.93076OpenAlexW2028330876MaRDI QIDQ4803167

Tyrone E. Duncan, Vladimir G. Boltyanski, Bozenna Pasik-Duncan, Alexander S. Poznyak

Publication date: 2002

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207170210156242

zbMATH Keywords

Riccati equationminimax optimal controllinear quadratic controlcontrolled driftrobust maximum principle

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (3)

Optimization and robustness ⋮ Discounted robust control for Markov diffusion processes ⋮ On the use of stochastic differential games against nature to ergodic control problems with unknown parameters

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