EQUIVALENCE BETWEEN INFINITE-HORIZON OPTIMAL-CONTROL OF STOCHASTIC-SYSTEMS WITH EXPONENTIAL-OF-INTEGRAL PERFORMANCE INDEX AND STOCHASTIC DIFFERENTIAL-GAMES

被引：68

作者：

RUNOLFSSON, T

机构：

[1] Department of Electrical and Computer Engineering, The Johns Hopkins University, Baltimore, MD

来源：

IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1994年 / 39卷 / 08期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1109/9.310029

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 new method, based on the theory of large deviations from the invariant measure, is introduced for the analysis of stochastic systems with an infinite-horizon exponential-of-integral performance index. It is shown that the infinite-horizon optimal exponential-of-integral stochastic control problem is equivalent to a stationary stochastic differential game for an auxiliary system. As an application of the developed technique, the infinite-horizon risk-sensitive LQG problem is analyzed for both the completely observed and partially observed case.

引用

页码：1551 / 1563

页数：13

共 27 条

[1]

[Anonymous], 1989, LARGE DEVIATIONS

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