Robust optimal control for minimax stochastic linear quadratic problem

DOI10.1080/00207170210156242MaRDI QIDQ4803167zbMATH OpenOpenAlexFDO

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

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

controlled driftlinear quadratic controlminimax optimal controlRiccati equationrobust maximum principle

Mathematics Subject Classification ID

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

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Cites work

• Absolute Stabilization and Minimax Optimal Control of Uncertain Systems with Stochastic Uncertainty
• 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
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 3078219 (Why is no real title available?)
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
• On Optimal Control of Linear Stochastic Equations with a Linear-Quadratic Criterion
• On the Solutions of a Stochastic Control System
• 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
• The second order minimum principle and adjoint process

Cited in

(17)

• Finite horizon minimax optimal control of stochastic partially observed time varying uncertain systems
• Robust stochastic maximum principle: complete proof and discussions
• Min-max robust control in LQ-differential games
• Discounted robust control for Markov diffusion processes
• Minimax optimal control of linear system with input-dependent uncertainty
• scientific article; zbMATH DE number 1067312 (Why is no real title available?)
• scientific article; zbMATH DE number 2015383 (Why is no real title available?)
• Minimax LQG Control of Stochastic Partially Observed Uncertain Systems
• Robust Control of Stochastic Structures Using Minimum Norm Quadratic Partial Eigenvalue Assignment Technique
• Robust maximum principle for multi-model LQ-problem
• Robust Control of Linear Stochastic Systems with Fully Observable State
• On the use of stochastic differential games against nature to ergodic control problems with unknown parameters
• Optimization and robustness
• Robust optimal control for hidden Markovian-switching jump diffusions: the finite-horizon payoff
• Robustness of optimal controlled diffusions with near-Brownian noise via rough paths theory
• Optimal robust linear-quadratic stabilization
• Minimax control of a process in a linear uncertain-stochastic system with incomplete data

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