A RISK-SENSITIVE MAXIMUM PRINCIPLE

被引：80

作者：

WHITTLE, P ^{[1
]}

机构：

[1] UNIV CAMBRIDGE,STAT LAB,CAMBRIDGE CB2 SB,ENGLAND

来源：

SYSTEMS & CONTROL LETTERS | 1990年 / 15卷 / 03期

关键词：

Hamilton-Jacobi equations; large deviations; Maximum principle; path integral; risk-sensitivity;

D O I：

10.1016/0167-6911(90)90110-G

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

A stochastic maximum principle is derived which is formally of general application (and so not restricted to the diffusion case). It moreover differs from the classic deterministic principle only by a modification of the Hamiltonian, and so requires no solution of stochastic differential equations or calculation of conditional expectations. The two essential points in its construction are that one considers the family of criterion functions exponential in an additive cost function (of which the conventional expected-cost case is a degenerate member) and that, in the non-LQG case, appeal to large-deviation theory must be valid. © 1990.

引用

页码：183 / 192

页数：10

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