Robust optimal control for minimax stochastic linear quadratic problem

The robust maximum principle applied to the minimax linear quadratic problem is derived for stochastic differential equations containing a control-dependent diffusion term. The parametric families of the first and second order adjoint stochastic processes are obtained to construct the corresponding Hamiltonian formalism. The Hamiltonian function used for the construction of the robust optimal control is shown to be equal to the sum of the standard stochastic Hamiltonians corresponding to each value of the uncertain parameter from a given finite set. The cost function is considered on a finite horizon (contains the mathematical expectation of both an integral and a terminal term) and on an infinite one (a time-averaged losses function). These problems belong to the class of minimax stochastic optimization problems. It is shown that the construction of the minimax optimal controller can be reduced to an optimization problem on a finite-dimensional simplex and consists in the analysis of the dependence of Riccati equation solution on the weight parameters to be found.