Stochastic control with imperfect models

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.

Author(s) Name: 
Arnab Basu, Vivek S Borkar
Journal Name: 
Siam Journal of Computing and Optimization
Published Date: 
Vol. 47, Issue No.3, PP 1274-1300, March 2008
Year of Publication: 
2008