The uncertainty threshold principle: Fundamental limitations of optimal decision making under dynamic uncertainty¶
Authors: Michael Athans, Richard Ku, Stanley Gershwin
Published: 1976 (Conference Paper)
Source: 1976 IEEE Conference on Decision and Control including the 15th Symposium on Adaptive Processes
DOI: 10.1109/CDC.1976.267656
Summary¶
Abstract¶
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 threshold; we call this the Uncertainty Thereshold Principle. The philosophical and design implications of this result are discussed.