RISK-SENSITIVE CONTROL ON AN INFINITE TIME HORIZON

被引：215

作者：

FLEMING, WH ^{[1
]}

MCENEANEY, WM ^{[1
]}

机构：

[1] CARNEGIE MELLON UNIV,DEPT MATH,PITTSBURGH,PA 15213

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1995年 / 33卷 / 06期

关键词：

RISK-SENSITIVE CONTROL; H-INFINITY CONTROL; DIFFERENTIAL GAMES; VISCOSITY SOLUTIONS; HAMILTON-JACOBI EQUATIONS; ISAACS EQUATIONS;

D O I：

10.1137/S0363012993258720

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Stochastic control problems on an infinite time horizon with exponential cost criteria are considered. The Donsker-Varadhan large deviation rate is used as a criterion to be optimized. The optimum rate is characterized as the value of an associated stochastic differential game, with an ergodic (expected average cost per unit time) cost criterion. If we take a small-noise limit, a deterministic differential game with average cost per unit time cost criterion is obtained. This differential game is related to robust control of nonlinear systems.

引用

页码：1881 / 1915

页数：35

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