Stochastic control with imperfect models
Document Type
Article
Publication Title
SIAM Journal On Control And Optimization
Abstract
We consider the problem of worst case performance estimation for a stochastic dynamic model in the presence of model uncertainty. This is cast as a nonclassical controlled diffusion problem. An infinite dimensional linear programming formulation is given and its dual is derived. The dual is successively approximated on a bounded domain by a semi-infinite and a finite linear program. This uses function approximation based on a reproducing kernel Hilbert space. Error analysis for the approximation is provided along with an estimate of the sample complexity.
DOI Link
Publication Date
1-4-2008
Publisher
Siam Publications
Volume
Vol.47
Issue
Iss.3
Recommended Citation
Basu, Arnab and Borkar, Vivek S, "Stochastic control with imperfect models" (2008). Faculty Publications. 951.
https://research.iimb.ac.in/fac_pubs/951
