Robust stochastic maximum principle for multi-model worst case optimization

Recommendations

Robust maximum principle for multi-model LQ-problem
scientific article; zbMATH DE number 1045614
A Robust Optimization Perspective on Stochastic Programming
On distributionally robust multiperiod stochastic optimization
The dynamic programming approach to multi-model robust optimization
Robust Stochastic Approximation Approach to Stochastic Programming
Robust and Stochastically Weighted Multiobjective Optimization Models and Reformulations
Convex Maximization via Adjustable Robust Optimization
Mathematical foundations of distributionally robust multistage optimization
Robust stochastic dominance and its application to risk-averse optimization

Cites work

scientific article; zbMATH DE number 3181355 (Why is no real title available?)
scientific article; zbMATH DE number 3718234 (Why is no real title available?)
scientific article; zbMATH DE number 3720745 (Why is no real title available?)
scientific article; zbMATH DE number 48691 (Why is no real title available?)
scientific article; zbMATH DE number 49106 (Why is no real title available?)
scientific article; zbMATH DE number 3505708 (Why is no real title available?)
A Game Theoretic Approach to $\mathcal{H}^\infty $ Control for Time-Varying Systems
Adaptive continuous-time linear quadratic Gaussian control
An Introductory Approach to Duality in Optimal Stochastic Control
Embedding adaptive JLQG into LQ martingale control with a completely observable stochastic control matrix
Feedback and optimal sensitivity: Model reference transformations, multiplicative seminorms, and approximate inverses
Local Optimality Conditions and Lipschitzian Solutions to the Hamilton–Jacobi Equation
Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
New results on the relationship between dynamic programming and the maximum principle
On Optimal Control of Linear Stochastic Equations with a Linear-Quadratic Criterion
On the Existence of Optimal Controls for Partially Observed Diffusions
On the Solutions of a Stochastic Control System
On the optimal filtering of diffusion processes
Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
Optimal risk and dividend control for a company with a debt liability
Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
Optimization and nonsmooth analysis
Parameter space methods for robust control design: a guided tour
Robust maximum principle in minimax control
Robust output feedback control for linear stochastic systems in continuous time with time-varying parameters
Some Examples of Optimal Stochastic Controls OR: The Stochastic Maximum Principle at Work
State-space formulae for all stabilizing controllers that satisfy an $H_{\infty}$-norm bound and relations to risk sensitivity
State-space solutions to standard H/sub 2/ and H/sub infinity / control problems
The second order minimum principle and adjoint process

Cited in

(12)

Maximum principle for stochastic recursive optimal control problem under model uncertainty
scientific article; zbMATH DE number 1808523 (Why is no real title available?)
Robust output stabilization for a class of nonlinear uncertain stochastic systems under multiplicative and additive noises: the attractive ellipsoid method
On the use of stochastic differential games against nature to ergodic control problems with unknown parameters
scientific article; zbMATH DE number 2015383 (Why is no real title available?)
Robust optimal control for minimax stochastic linear quadratic problem
Optimization and robustness
The robust maximum principle. Theory and applications.
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
Robust stochastic maximum principle: complete proof and discussions
Robust maximum principle for multi-model LQ-problem

This page was built for publication: Robust stochastic maximum principle for multi-model worst case optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4804440)