Risk-sensitive control of finite state machines on an infinite horizon .1.

In this paper we consider robust and risk-sensitive control of discrete time finite state systems on an infinite horizon, The solution of the state feedback robust control problem is characterized in terms of the value of an average cost dynamic game. The risk-sensitive stochastic optimal control problem is solved using the policy iteration algorithm, and the optimal rate is expressed in terms of the value of a stochastic dynamic game with average cost per unit time criterion. By taking a small noise limit, a deterministic dynamic game which is closely related to the robust control problem is obtained.