Cookies

We use cookies to ensure that we give you the best experience on our website. You can change your cookie settings at any time. Otherwise, we'll assume you're OK to continue.

Durham University

Department of Mathematical Sciences

Academic Staff

Publication details for Matthias Troffaes

De 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.

Author(s) from Durham

Other versions of this publication

Abstract

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.