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Seminario: “Adaptive robust control under model uncertainty”

Venerdì 24 Novembre 2017, ore 14:00 - Aula 2AB40 - Areski Cousin

ARGOMENTI: Seminari

Venerdì 24 Novembre 2017 alle ore 14:00 in Aula 2AB40, Areski Cousin (Univ. di Strasburgo) terrà un seminario dal titolo “Adaptive robust control under model uncertainty”.

Abstract
We propose a new methodology for solving an uncertain stochastic Markovian control problem in discrete time. We extend the robust control approach by incorporating a learning mechanism on the unknown model dynamics. The learning algorithm is meant to reduce the uncertainty on the true probabilistic structure while observing dynamics of some driving state variables. We prove that the optimal strategies are solutions of robust Bellman equations. The methodology is numerically illustrated on a portfolio selection problem under model uncertainty.

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