Robust Control and Model Uncertainty

This paper describes how to transform that “penalty problem“ into a closely related “constraint problem” like (1), which differ in subtle ways but are connected via the Lagrange multiplier theorem.

Abstract

The following sections are included:IntroductionA Benchmark Resource Allocation ProblemModel MisspecificationTwo Robust Control ProblemsRecursivity of the Multiplier FormulationTwo Preference OrderingsRecursivity of the Preference OrderingsConcluding Remarks