Basu, Arnab ; Borkar, Vivek S. (2008) Stochastic control with imperfect models SIAM Journal on Control and Optimization, 47 (3). pp. 1274-1300. ISSN 0363-0129
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Official URL: http://link.aip.org/link/?SJCODC/47/1274/1
Related URL: http://dx.doi.org/10.1137/060667049
Abstract
We consider the problem of worst case performance estimation for a stochastic dynamic model in the presence of model uncertainty. This is cast as a nonclassical controlled diffusion problem. An infinite dimensional linear programming formulation is given and its dual is derived. The dual is successively approximated on a bounded domain by a semi-infinite and a finite linear program. This uses function approximation based on a reproducing kernel Hilbert space. Error analysis for the approximation is provided along with an estimate of the sample complexity.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Society for Industrial & Applied Mathematics. |
| Keywords: | Worst Case Performance; Controlled Diffusion; Approximation of Linear Programs; Reproducing Kernel Hilbert Spaces; Sample Complexity; Credit Risk |
| ID Code: | 5292 |
| Deposited On: | 18 Oct 2010 08:28 |
| Last Modified: | 20 May 2011 08:46 |
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