Stochastic optimal control subject to ambiguity
Date
2011ISBN
978-3-902661-93-7Source
IFAC Proceedings Volumes (IFAC-PapersOnline)IFAC Proceedings Volumes (IFAC-PapersOnline)
Volume
18Pages
4459-4464Google Scholar check
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The aim of this paper is to address optimality of control strategies for stochastic control systems subject to uncertainty and ambiguity. Uncertainty corresponds to the case when the true dynamics and the nominal dynamics are different but they are defined on the same state space. Ambiguity corresponds to the case when the true dynamics are defined on a higher dimensional state space than the nominal dynamics. The paper is motivated by a brief summary of existing methods dealing with optimality of stochastic systems subject to uncertainty, and a discussion on its shortcoming when stochastic systems are ambiguous. The issues which will be discussed are the following. 1) Modeling methods for ambiguous stochastic systems, 2) formulation of optimal stochastic control systems subject to ambiguity, 3) optimality criteria for ambiguous stochastic control systems. © 2011 IFAC.
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