Robust Optimal Control Using Conditional RiskMappings in Infinite\n Horizon

2018/06/04 by Kerem Uğurlu, Ugurlu, Kerem
Decision Sciences · #FOS: Mathematics #Optimization and Control (math.OC) #Risk and Portfolio Optimization

paper · pdf · doi:10.48550/arxiv.1806.00983

openalex publication_date 2018/06/04 · openalex created_date 2022/10/05 · openalex updated_date 2026/07/28

Abstract

We use one-step conditional risk mappings to formulate a risk averse version\nof a total cost problem on a controlled Markov process in discrete time\ninfinite horizon. The nonnegative one step costs are assumed to be lower\nsemi-continuous but not necessarily bounded. We derive the conditions for the\nexistence of the optimal strategies and solve the problem explicitly by giving\nthe robust dynamic programming equations under very mild conditions. We further\ngive an \ε-optimal approximation to the solution and illustrate our\nalgorithm in two examples of optimal investment and LQ regulator problems.\n

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