Optimal control of uncertain stochastic systems subject to total variation distance uncertainty

DOI10.1137/100786381MaRDI QIDQ4905923zbMATH OpenOpenAlexFDO

Authors Farzad Rezaei, Charalambos D. Charalambous, N. U. Ahmed

Publication date 21 February 2013

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

Full work available at URL https://doi.org/10.1137/100786381

zbMATH Keywords

\(L_{\infty}\) normsdynamic programming equationHJB equationlinear quadratic caseminimax problemsoptimal stochastic controltotal variationtotal variation distance uncertaintyuncertain stochastic controlled systemsuncertain systemsvalue functionviscosity solution

Mathematics Subject Classification ID

Optimality conditions for minimax problems (49K35) Dynamic programming in optimal control and differential games (49L20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cited in

(2)

• Optimization of stochastic uncertain systems: entropy rate functionals, minimax games and robustness
• Dynamic programming subject to total variation distance ambiguity

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