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Durham University

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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.

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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.