Bellman equations of risk-sensitive control

被引：83

作者：

Nagai, H

机构：

[1] Department of Mathematical Science, Faculty of Engineering Science, Osaka University, Toyonaka, Osaka

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1996年 / 34卷 / 01期

关键词：

risk-sensitive control; Bellman equation; ergodic control; breaking down; asymptotic behaviour; large deviation;

D O I：

10.1137/S0363012993255302

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Risk-sensitive control problems are considered. Existence of a nonnegative solution to the Bellman equation of risk-sensitive control is shown. The result is applied to prove that no breaking down occurs. Asymptotic behaviour of the nonnegative solution is studied in relation to ergodic control problems and the relationship between the asymptotics and the large deviation principle is noted.

引用

页码：74 / 101

页数：28

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