Robust feedback switching control: dynamic programming and viscosity solutions
Abstract
We consider a robust switching control problem. The controller only observes the evolution of the state process, and thus uses feedback (closed-loop) switching strategies, a non standard class of switching controls introduced in this paper. The adverse player (nature) chooses open-loop controls that represent the so-called Knightian uncertainty, i.e., misspecifications of the model. The (half) game switcher versus nature is then formulated as a two-step (robust) optimization problem. We develop the stochastic Perron method in this framework, and prove that it produces a viscosity sub and supersolution to a system of Hamilton-Jacobi-Bellman (HJB) variational inequalities, which envelope the value function. Together with a comparison principle, this characterizes the value function of the game as the unique viscosity solution to the HJB equation, and shows as a byproduct the dynamic programming principle for robust feedback switching control problem.
Cite
@article{arxiv.1409.6233,
title = {Robust feedback switching control: dynamic programming and viscosity solutions},
author = {Erhan Bayraktar and Andrea Cosso and Huyen Pham},
journal= {arXiv preprint arXiv:1409.6233},
year = {2016}
}
Comments
to appear on SIAM Journal on Control and Optimization