A Separation Theorem for Expected Value and Feared Value Discrete Time Control

Author: Bernhard Pierre  

Publisher: Edp Sciences

E-ISSN: 1262-3377|1|issue|191-206

ISSN: 1292-8119

Source: ESAIM: Control, Optimisation and Calculus of Variations, Vol.1, Iss.issue, 2010-03, pp. : 191-206

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Abstract

We show how the use of a parallel between the ordinary (+, X) and the (max, +) algebras, Maslov measures that exploit this parallel, and more specifically their specialization to probabilities andthe corresponding cost measures of Quadrat, offer a completely parallel treatment of stochastic and minimax control of disturbed nonlinear discrete time systems with partial information. This paper is based upon, and improves, the discrete time part of the earlier paper [9].