@article{594a40e428c544db8825c05e4d3a8a88,
title = "Continuous-time robust dynamic programming",
abstract = "This paper presents a new theory, known as robust dynamic programming, for a class of continuous-time dynamical systems. Diferent from traditional dynamic programming (DP) methods, this new theory serves as a fundamental tool to analyze the robustness of DP algorithms, and, in particular, to develop novel adaptive optimal control and reinforcement learning methods. In order to demonstrate the potential of this new framework, two illustrative applications in the felds of stochastic and decentralized optimal control are presented. Two numerical examples arising from both fnance and engineering industries are also given, along with several possible extensions of the proposed framework.",
keywords = "Adaptive optimal control, Dynamic programming, Robust control, Stochastic optimal control",
author = "Tao Bian and Jiang, {Zhong Ping}",
note = "Funding Information: \ast Received by the editors September 17, 2018; accepted for publication (in revised form) September 11, 2019; published electronically December 12, 2019. The opinions expressed in this paper are those of the authors and do not necessarily reflect the views and policies of Bank of America Merrill Lynch. https://doi.org/10.1137/18M1214147 Funding: The work of the second author was partially supported by the National Science Foundation under grants ECCS-1230040, ECCS-1501044, and EPCN-1903781. \dagger Bank of America Merrill Lynch, One Bryant Park, New York, NY 10036 (tbian@nyu.edu). \ddagger Control and Networks Lab, Department of Electrical and Computer Engineering, Tandon School of Engineering, New York University, 6 Metrotech Center, Brooklyn, NY 11201 (zjiang@nyu.edu). Publisher Copyright: {\textcopyright} 2019 Society for Industrial and Applied Mathematics",
year = "2019",
doi = "10.1137/18M1214147",
language = "English (US)",
volume = "57",
pages = "4150--4174",
journal = "SIAM Journal on Control and Optimization",
issn = "0363-0129",
publisher = "Society for Industrial and Applied Mathematics Publications",
number = "6",
}