Relative entropy applied to optimal control of stochastic uncertain systems on hilbert space
AuthorAhmed, N. U.
Charalambous, Charalambos D.
SourceProceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05
Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05
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This paper considers minimax problems, in which the control minimizes the pay-off induced by a measure which maximizes the pay-off over the class of measures described by a relative entropy set between the uncertain and the true measure. We present several basic properties of the relative entropy on infinite dimensional spaces, and then we apply them to an uncertain system described by a Stochastic Differential inclusion on Hilbert space. ©2005 IEEE.