RISK-SENSITIVE LINEAR-QUADRATIC-GAUSSIAN CONTROL

被引:313
作者
WHITTLE, P
机构
关键词
D O I
10.2307/1426972
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
引用
收藏
页码:764 / 777
页数:14
相关论文
共 14 条
[1]  
Davis M. H. A., 1977, LINEAR ESTIMATION ST
[2]  
DeGroot, 1970, OPTIMAL STAT DECISIO, V82
[3]   RISK-SENSITIVE MARKOV DECISION PROCESSES [J].
HOWARD, RA ;
MATHESON, JE .
MANAGEMENT SCIENCE SERIES A-THEORY, 1972, 18 (07) :356-369
[4]  
Jacobson D. H., 1977, EXTENSIONS LINEAR QU
[6]  
KREPS DM, 1972, MATH OPERAT RES, V2, P45
[7]   ON THE OPTIMAL-CONTROL OF STOCHASTIC-SYSTEMS WITH AN EXPONENTIAL-OF-INTEGRAL PERFORMANCE INDEX [J].
KUMAR, PR ;
VANSCHUPPEN, JH .
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 1981, 80 (02) :312-332
[8]  
Kushner Harold, 1971, INTRO STOCHASTIC CON
[9]  
Shreve S., 1976, DYNAMIC PROGRAMMING, P105
[10]   OPTIMIZATION OF STOCHASTIC LINEAR-SYSTEMS WITH ADDITIVE MEASUREMENT AND PROCESS NOISE USING EXPONENTIAL PERFORMANCE CRITERIA [J].
SPEYER, JL ;
DEYST, J ;
JACOBSON, DH .
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1974, AC19 (04) :358-366