On the Dynamic Programming approach to multi-model robust optimal control problems

The aim of this paper is to extend the dynamic programming (DP) approach to multi-model optimal control problems (OCPs). We deal with robust optimization of multi-model control systems and are particularly interested in the Hamilton-Jacobi-Bellman (HJB) equation for the above class of problems. In this paper, we study a variant of the HJB for multi-model OCPs and examine the natural relationship between the Bellman DP techniques and the robust maximum principle (MP) (Boltyanski and Poznyak, 1999). Moreover, we describe a concept for practical calculations in the context of multi-model LQ-problems and derive the associated Riccati-type equation.