Adaptive Robust Control Under Model Uncertainty
Optimization and Control
2017-06-08 v1 Probability
Mathematical Finance
Abstract
In this paper we propose a new methodology for solving an uncertain stochastic Markovian 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.
Cite
@article{arxiv.1706.02227,
title = {Adaptive Robust Control Under Model Uncertainty},
author = {Tomasz R. Bielecki and Tao Chen and Igor Cialenco and Areski Cousin and Monique Jeanblanc},
journal= {arXiv preprint arXiv:1706.02227},
year = {2017}
}