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The uncertainty threshold principle: Some fundamental limitations of optimal decision making under dynamic uncertainty

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3 Author(s)
Athans, M. ; Massachusetts Institute of Technology, Cambridge, MA, USA ; Ku, R. ; Gershwin, S.

This note shows that the optimal control of dynamic systems with uncertain parameters has certain limitations. In particular, by means of a simple scalar linear-quadratic optimal control example, it is shown that the infinite horizon solution does not exist if the parameter uncertainty exceeds a certain quantifiable threshold; we call this the uncertainty threshold principle. The philosophical and design implications of this result are discussed.

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Automatic Control, IEEE Transactions on  (Volume:22 ,  Issue: 3 )