Robust stochastic maximum principle for multi-model worst case optimization

DOI10.1080/00207170210156251zbMATH Open1054.93054OpenAlexW2141237093MaRDI QIDQ4804440FDOQ4804440

Authors: T. E. Duncan, Alexander S. Poznyak, B. Pasik-Duncan, V. G. Boltyanski 

Publication date: 15 July 2003

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

Full work available at URL: https://doi.org/10.1080/00207170210156251

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zbMATH Keywords

Hamiltonian functionMayer control problemrobust maximum principle

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

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Cited In (11)

• Suboptimal stochastic linear feedback control of linear systems with state- and control-dependent noise: The incomplete information case
• Discounted robust control for Markov diffusion processes
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• Robust stochastic maximum principle: complete proof and discussions
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• Robust optimal control for minimax stochastic linear quadratic problem
• On the use of stochastic differential games against nature to ergodic control problems with unknown parameters
• Robust output stabilization for a class of nonlinear uncertain stochastic systems under multiplicative and additive noises: the attractive ellipsoid method
• Optimization and robustness
• The robust maximum principle. Theory and applications.
• Robust maximum principle for multi-model LQ-problem

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