Abstract
This chapter extends the possibilities of the MP approach for a class of Min-Max control problems for uncertain models given by a system of stochastic differential equations with a controlled diffusion term and unknown parameters within a given measurable compact set. For simplicity, we consider the Min-Max problem belonging to the class of optimization problems with a fixed finite horizon where the cost function contains only a terminal term (without an integral part). The proof is based on the Tent Method in a Banach space, discussed in detail in Part II; it permits us to formulate the necessary conditions of optimality in the Hamiltonian form.
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Boltyanski, V.G., Poznyak, A.S. (2012). A Compact Uncertainty Set. In: The Robust Maximum Principle. Systems & Control: Foundations & Applications. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-0-8176-8152-4_17
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DOI: https://doi.org/10.1007/978-0-8176-8152-4_17
Publisher Name: Birkhäuser, Boston, MA
Print ISBN: 978-0-8176-8151-7
Online ISBN: 978-0-8176-8152-4
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