Publication details for Matthias TroffaesDe Cooman, Gert & Troffaes, Matthias C. M. (2005). Dynamic Programming for Deterministic Discrete-Time Systems with Uncertain Gain. International Journal of Approximate Reasoning 39(2-3): 257-278.
- Publication type: Journal Article
- ISSN/ISBN: 0888-613X
- DOI: 10.1016/j.ijar.2004.10.004
- Keywords: Optimal control; Dynamic programming; Uncertainty; Imprecise probabilities; Lower previsions; Sets of probabilities
- Further publication details on publisher web site
- Durham Research Online (DRO) - may include full text
Author(s) from Durham
Other versions of this publication
We generalise the optimisation technique of dynamic programming for discrete-time systems with an uncertain gain function. We assume that uncertainty about the gain function is described by an imprecise probability model, which generalises the well-known Bayesian, or precise, models. We compare various optimality criteria that can be associated with such a model, and which coincide in the precise case: maximality, robust optimality and maximinity. We show that (only) for the first two an optimal feedback can be constructed by solving a Bellman-like equation.