Two levels of Bayesian model averaging for optimal control of stochastic systems

Abstract

Bayesian model averaging provides the best possible estimate of a model, given the data. This article uses that approach twice: once to get a distribution of plausible models of the world, and again to find a distribution of plausible control functions. The resulting ensemble gives control instructions different from simply taking the single best-fitting model and using it to find a single lowest-error control function for that single model. The only drawback is, of course, the need for more computer time: this article demonstrates that the required computer time is feasible. The test problem here is from flood control and risk management.