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

IEEE Transactions on Automatic Control

Volumn 41, Issue 2, 1996, Pages 210-215

  Bensoussan, Alain ^a,b   Elliott, Robert J ^c  

^a IEEE

^b INRIA   (France)

^c UNIVERSITY OF ALBERTA   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

DYNAMICS; KALMAN FILTERING; MATRIX ALGEBRA; PREDICTIVE CONTROL SYSTEMS; PROBABILITY; RANDOM PROCESSES; SPURIOUS SIGNAL NOISE;

EXPONENTIAL RUNNING COST; FINITE DIMENSIONAL DYNAMICS; KALMAN AND BENES FILTERS; MODIFIED CONDITIONAL DENSITY; RISK SENSITIVE CONTROL; STOCHASTIC CONTROL PROBLEM; ZAKAI EQUATION;

STOCHASTIC CONTROL SYSTEMS;

EID: 0030081579     PISSN: 00189286     EISSN: None     Source Type: Journal    
DOI: 10.1109/9.481520     Document Type: Article

References (9)

1. A. Bensousuan, Stochastic Control of Partially Observable Systems. Cambridge, UK: Cambridge Univ. Press, 1992.
2. A. Bensoussan and J. van Schuppen, "Optimal control of partially observable stochastic systems with an exponemial-of-integral performance index," SIAM J. Contr. Optim., vol. 23, pp. 599-613, 1985.
3. A. Bensoussan and R. J. Elliott, "A finite dimensional risk sensitive control problem," SIAM J. Contr. Optim., to appear.
4. A. Bensoussan and J. S. Baras, "Output feedback risk sensitive control and differential games," preprint, INRlA, 1994.
5. D. H. Jacobson, "Optimal stochastic linear systems with exponential criteria and their relation to deterministic differential games," IEEE Trans. Automat. Contr., vol. AC-18, pp. 124-131, 1973.
6. M. R. James, J. S. Baras, and R. J. Elliott, "Risk-sensitive control and dynamic games for partially observed discrete time nonlinear systems," IEEE Trans. Automat. Contr., vol. 39, pp. 780-792, 1994.
7. _, "Output feedback risk-sensitive control and differential games for continuous-time nonlinear systems," in Proc. 32nd IEEE Contr. Decision Conf., San Antonio, TX, Dec. 1993, pp. 3357-3360.
8. J. L. Speyer, "An adaptive terminal guidance scheme based on exponential cost criterion with application to having missile guidance," IEEE Trans. Automat Contr., vol. AC-21, pp. 371-375, 1976.
9. P. Whittle, "Risk sensitive linear quadratic gaussian control," Advances Appl. Prob., vol. 13, pp. 764-777, 1974.