dc.contributor.author | Charalambous, Charalambos D. | en |
dc.contributor.author | Tzortzis, I. | en |
dc.contributor.author | Charalambous, T. | en |
dc.creator | Charalambous, Charalambos D. | en |
dc.creator | Tzortzis, I. | en |
dc.creator | Charalambous, T. | en |
dc.date.accessioned | 2019-04-08T07:45:20Z | |
dc.date.available | 2019-04-08T07:45:20Z | |
dc.date.issued | 2012 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/43126 | |
dc.description.abstract | The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variational distance uncertainty on the conditional distribution of the controlled process. Utilizing concepts from signed measures, the maximization of a linear functional on the space of probability measures on abstract spaces is investigated, among those probability measures which are within a total variational distance from a nominal probability measure. The maximizing probability measure is found in closed form. These results are then applied to solve minimax stochastic control with deterministic control strategies, under a Markovian assumption on the conditional distributions of the controlled process. The results include: 1) Optimization subject to total variational distance constraints, 2) new dynamic programming recursions, which involve the oscillator seminorm of the value function. © 2012 IEEE. | en |
dc.source | Proceedings of the IEEE Conference on Decision and Control | en |
dc.source | Proceedings of the IEEE Conference on Decision and Control | en |
dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-84874239408&doi=10.1109%2fCDC.2012.6426334&partnerID=40&md5=14beabd2c3846f16573600c8dca19822 | |
dc.subject | Optimization | en |
dc.subject | Dynamic programming | en |
dc.subject | Probability | en |
dc.subject | Stochastic control systems | en |
dc.subject | Optimality | en |
dc.subject | Control strategies | en |
dc.subject | Stochastic control | en |
dc.subject | Conditional distribution | en |
dc.subject | Process control | en |
dc.subject | Minimax | en |
dc.subject | Recursions | en |
dc.subject | Abstract space | en |
dc.subject | Probability measures | en |
dc.subject | Closed form | en |
dc.subject | Controlled process | en |
dc.subject | Linear functional | en |
dc.subject | Markovian | en |
dc.subject | Seminorms | en |
dc.subject | Signed measure | en |
dc.subject | Value functions | en |
dc.subject | Variational distance | en |
dc.title | Dynamic programming with total variational distance uncertainty | en |
dc.type | info:eu-repo/semantics/conferenceObject | |
dc.identifier.doi | 10.1109/CDC.2012.6426334 | |
dc.description.startingpage | 1909 | |
dc.description.endingpage | 1914 | |
dc.author.faculty | Πολυτεχνική Σχολή / Faculty of Engineering | |
dc.author.department | Τμήμα Ηλεκτρολόγων Μηχανικών και Μηχανικών Υπολογιστών / Department of Electrical and Computer Engineering | |
dc.type.uhtype | Conference Object | en |
dc.contributor.orcid | Charalambous, Charalambos D. [0000-0002-2168-0231] | |
dc.gnosis.orcid | 0000-0002-2168-0231 | |