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On dynamic programming for sequential decision problems under a general form of uncertainty

Author

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  • Paolo Pra
  • Wolfgang Runggaldier
  • Cristina Rudari

Abstract

We study the applicability of the method of Dynamic Programming (DP) for the solution of a general class of sequential decision problems under uncertainty, that may more commonly be referred to as discrete-time control problems under uncertainty. The uncertainty is due to the fact that the evolution of the state of the controlled system is affected by disturbances that are only known to belong to random sets, whose distributions are given a-priori. This includes as special cases the well known stochastic control problem and the robust min-max problem. Copyright Physica-Verlag 1997

Suggested Citation

  • Paolo Pra & Wolfgang Runggaldier & Cristina Rudari, 1997. "On dynamic programming for sequential decision problems under a general form of uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 45(1), pages 81-107, February.
  • Handle: RePEc:spr:mathme:v:45:y:1997:i:1:p:81-107
    DOI: 10.1007/BF01194249
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    Cited by:

    1. Runggaldier, Wolfgang J., 1998. "Concepts and methods for discrete and continuous time control under uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 25-39, May.

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