# Adaptive Robust Control Under Model Uncertainty

arXiv: https://arxiv.org/abs/1706.02227 · HTML: https://mlsanity.com/paper/1706.02227/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 7 Jun 2017.

## Built on by (most cited first, 1 of 1)

- [On Parametric Optimal Execution and Machine Learning Surrogates](https://mlsanity.com/paper/2204.08581/) (2022)

## Abstract (arXiv)

In this paper we propose a new methodology for solving an uncertain stochastic Markovian control problem in discrete time. We call the proposed methodology the adaptive robust control. We demonstrate that the uncertain control problem under consideration can be solved in terms of associated adaptive robust Bellman equation. The success of our approach is to the great extend owed to the recursive methodology for construction of relevant confidence regions. We illustrate our methodology by considering an optimal portfolio allocation problem, and we compare results obtained using the adaptive robust control method with some other existing methods.