Optimal Control of Uncertain Stochastic Systems Subject to Total Variation Distance Uncertainty

DOI10.1137/100786381zbMath1258.93127OpenAlexW1990019219MaRDI QIDQ4905923

Farzad Rezaei, Nasir Uddin Ahmed, Charalambos D. Charalambous

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

total variationuncertain systemsviscosity solutionminimax problemsHJB equationvalue functiondynamic programming equationoptimal stochastic control\(L_{\infty}\) normslinear quadratic casetotal variation distance uncertaintyuncertain stochastic controlled systems

Mathematics Subject Classification ID

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

Related Items (1)

Dynamic Programming Subject to Total Variation Distance Ambiguity

This page was built for publication: Optimal Control of Uncertain Stochastic Systems Subject to Total Variation Distance Uncertainty