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Worst-case dual control: Basic results. (English)
Int. J. Control 73, No.18, 1621-1646 (2000).
This paper considers the worst-case dual-control problem and discusses its basic properties. The Bellman equation is derived, and some simple cases are analyzed. Unmodelled dynamics bounded in the $\ell_1$ norm is accounted for. The case of an infinite horizon cost function is considered as a special case. Finally simulations show the practical potential of these types of results.
Reviewer: Yasuo Sugai (Chiba-shi)