General finite-dimensional risk-sensitive problems and small noise limits

被引：22

作者：

Bensoussan, A ^{[1
]}

Elliott, RJ ^{[1
]}

机构：

[1] UNIV ALBERTA,DEPT MATH STUDIES,EDMONTON,AB T6G 2G1,CANADA

来源：

IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1996年 / 41卷 / 02期

关键词：

D O I：

10.1109/9.481520

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

For a risk-sensitive, partially observed stochastic control problem, the modified Zakai equation includes an extra term related to the exponential running cost. The finite-dimensional solutions of this modified Zakai equation are obtained, These are analogs of the Kalman and Benes filters, The small noise limits of the finite-dimensional risk-sensitive problems are then obtained, These lead to differential games with deterministic disturbances.

引用

页码：210 / 215

页数：6

共 9 条

[1] OPTIMAL-CONTROL OF PARTIALLY OBSERVABLE STOCHASTIC-SYSTEMS WITH AN EXPONENTIAL-OF-INTEGRAL PERFORMANCE INDEX [J].

BENSOUSSAN, A ;

VANSCHUPPEN, JH .

SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1985, 23 (04) :599-613

[2]

BENSOUSSAN A, IN PRESS SIAM J CONT

[3]

BENSOUSSAN A, 1994, OUTPUT FEEDBACK RISK

[4] OPTIMAL STOCHASTIC LINEAR-SYSTEMS WITH EXPONENTIAL PERFORMANCE CRITERIA AND THEIR RELATION TO DETERMINISTIC DIFFERENTIAL GAMES [J].

JACOBSON, DH .

IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1973, AC18 (02) :124-131

[5] RISK-SENSITIVE CONTROL AND DYNAMIC-GAMES FOR PARTIALLY OBSERVED DISCRETE-TIME NONLINEAR-SYSTEMS [J].

JAMES, MR ;

BARAS, JS ;

ELLIOTT, RJ .

IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1994, 39 (04) :780-792

[6]

JAMES MR, 1993, PROCEEDINGS OF THE 32ND IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-4, P3357, DOI 10.1109/CDC.1993.325833

[7] ADAPTIVE TERMINAL GUIDANCE SCHEME BASED ON AN EXPONENTIAL COST CRITERION WITH APPLICATION TO HOMING MISSILE GUIDANCE [J].

SPEYER, JL .

IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1976, 21 (03) :371-375

[8] RISK-SENSITIVE LINEAR-QUADRATIC-GAUSSIAN CONTROL [J].

WHITTLE, P .

ADVANCES IN APPLIED PROBABILITY, 1981, 13 (04) :764-777

[9]

[No title captured]

← 1 →