Risk-sensitive control of finite state machines on an infinite horizon .1.

被引：59

作者：

Fleming, WH ^{[1
]}

HernandezHernanadez, D ^{[1
]}

机构：

[1] INST POLITECN NACL, CINVESTAV, DEPT MATEMAT, MEXICO CITY 07000, DF, MEXICO

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1997年 / 35卷 / 05期

关键词：

risk-sensitive control; robust control; finite state machines; large deviations;

D O I：

10.1137/S0363012995291622

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper we consider robust and risk-sensitive control of discrete time finite state systems on an infinite horizon, The solution of the state feedback robust control problem is characterized in terms of the value of an average cost dynamic game. The risk-sensitive stochastic optimal control problem is solved using the policy iteration algorithm, and the optimal rate is expressed in terms of the value of a stochastic dynamic game with average cost per unit time criterion. By taking a small noise limit, a deterministic dynamic game which is closely related to the robust control problem is obtained.

引用

页码：1790 / 1810

页数：21

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