Adaptive Robust Control under Model Uncertainty

DOI10.1137/17M1137917zbMath1409.93070arXiv1706.02227WikidataQ128230304 ScholiaQ128230304MaRDI QIDQ3121333

Tao Chen, Tomasz R. Bielecki, Igor Cialenco, Areski Cousin, Monique Jeanblanc-Picqué

Publication date: 15 March 2019

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

Full work available at URL: https://arxiv.org/abs/1706.02227

zbMATH Keywords

stochastic controlmodel uncertaintyadaptive robust controloptimal portfolio allocationrecursive confidence regionsadaptive robust dynamic programmingMarkovian control problem

Mathematics Subject Classification ID

Control/observation systems with incomplete information (93C41) Adaptive control/observation systems (93C40) Discrete-time control/observation systems (93C55) Dynamic programming (90C39) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (13)

Risk-Sensitive Markov Decision Problems under Model Uncertainty: Finite Time Horizon Case ⋮ Robust policy selection and harvest risk quantification for natural resources management under model uncertainty ⋮ Nonparametric Adaptive Robust Control under Model Uncertainty ⋮ Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets ⋮ Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach ⋮ Risk filtering and risk-averse control of Markovian systems subject to model uncertainty ⋮ Nonparametric learning for impulse control problems -- exploration vs. exploitation ⋮ Long-Run Risk-Sensitive Impulse Control ⋮ Adaptive Robust Control in Continuous Time ⋮ A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging ⋮ Contract Theory in a VUCA World ⋮ TIME-INCONSISTENT MARKOVIAN CONTROL PROBLEMS UNDER MODEL UNCERTAINTY WITH APPLICATION TO THE MEAN-VARIANCE PORTFOLIO SELECTION ⋮ Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures

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