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Article Dans Une Revue SIAM Journal on Control and Optimization Année : 2019

Adaptive Robust Control Under Model Uncertainty

Résumé

In this paper we propose a new methodology for solving an uncertain stochastic Marko-vian control problem in discrete time. We call the proposed methodology the adaptive robust control. We demonstrate that the uncertain control problem under consideration can be solved in terms of associated adaptive robust Bellman equation. The success of our approach is to the great extend owed to the recursive methodology for construction of relevant confidence regions. We illustrate our methodology by considering an optimal portfolio allocation problem, and we compare results obtained using the adaptive robust control method with some other existing methods.
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Dates et versions

hal-01582574 , version 1 (06-09-2017)

Identifiants

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Tomasz R Bielecki, Tao Chen, Igor Cialenco, Areski Cousin, Monique Jeanblanc. Adaptive Robust Control Under Model Uncertainty. SIAM Journal on Control and Optimization, 2019, 57 (2), pp.925-946. ⟨10.1137/17M1137917⟩. ⟨hal-01582574⟩
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