Controlling uncertain stochastic systems: Performance comparisons in a scalar system

We look at the situation of controlling a poorly known system, for which only a simplified and uncertain model can be used for control design purposes. This setting is commonly found in biological systems or economic policy-making. We employ the idea of the CVIU approach [1], and develop in the scalar case the solution of the HJB equation. The control design is compared with the standard and robust LQG solutions, exploring the fact that the model can be quite distinct of the actual system.We verify that in some mismatched situations the CVIU approach yields better performance than the LQG strategies.