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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Favero, G. Runggaldier, W.J. |
| Copyright Year | 2000 |
| Description | Author affiliation: Dipartimento di Matematica Pura e Applicata, Padova Univ., Italy (Favero, G.) |
| Abstract | The solution of a stochastic control problem depends on the underlying model, i.e., on the probability measure induced by the model. The real world model may not be known precisely, and so one solves the problem for a hypothetical model that induces a measure generally different but close to the real one. We investigate two ways to derive a bound on the suboptimality of the hypothetical optimal control when it is used in the real problem. Both bounds are in terms of the Radon-Nikodym derivative of the real world measure with respect to the hypothetical one. |
| Starting Page | 3349 |
| Ending Page | 3350 |
| File Size | 179999 |
| Page Count | 2 |
| File Format | |
| ISBN | 0780366387 |
| ISSN | 01912216 |
| DOI | 10.1109/CDC.2000.912219 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2000-12-12 |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | Robust control Stochastic processes Q measurement Optimal control Mathematical model Random variables Process control Stress measurement Density measurement |
| Content Type | Text |
| Resource Type | Article |
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