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The method of sample-based minimax optimization is developed for the minimization problem with an uncertain quadratic objective function subject to linear constraints. Several examples based on confidence statistical estimation are considered to define the uncertainty set. Analytical and numerical techniques are proposed for finding the optimal robust strategy.
A linear stochastic system with continuous dynamics is considered with two types of observations: purely discrete and discrete-continuous. It is assumed that the intensities of noises are uncertain and belong to a given and known a priori uncertainty set. The problem is stated as a minimax one with respect to integral mean-square optimization criterion. The optimal minimax filter is presented in the...
An optimal control problem with constraints is considered on a finite interval for a non-stationary Markov chain with a finite state space. The constraints are given as a set of inequalities. The optimal solution existence is proved under a natural assumption that the set of admissible controls is non-empty. The stochastic control problem is reduced to a deterministic one and it is shown that the...
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