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

被引：59

作者：

Fleming, WH ^{[1
]}

HernandezHernanadez, D ^{[1
]}

机构：

[1] INST POLITECN NACL, CINVESTAV, DEPT MATEMAT, MEXICO CITY 07000, DF, MEXICO

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1997年 / 35卷 / 05期

关键词：

risk-sensitive control; robust control; finite state machines; large deviations;

D O I：

10.1137/S0363012995291622

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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.

引用

页码：1790 / 1810

页数：21

共 50 条

[31] Average optimality for risk-sensitive control with general state space
Jaskiewicz, Anna
ANNALS OF APPLIED PROBABILITY, 2007, 17 (02): : 654 - 675
[32] FINITE-DIMENSIONAL QUASI-LINEAR RISK-SENSITIVE CONTROL
AGGOUN, L
BENSOUSSAN, A
ELLIOTT, RJ
MOORE, JB
SYSTEMS & CONTROL LETTERS, 1995, 25 (02) : 151 - 157
[33] Risk-sensitive and minimax control of discrete-time, finite-state Markov decision processes
Coraluppi, SP
Marcus, SI
AUTOMATICA, 1999, 35 (02) : 301 - 309
[34] Infinite-horizon risk-sensitive performance criteria for translation invariant networks of linear quantum stochastic systems
Vladimirov, Igor G.
Petersen, Ian R.
INFINITE DIMENSIONAL ANALYSIS QUANTUM PROBABILITY AND RELATED TOPICS, 2022, 25 (04)
[35] On finite-dimensional risk-sensitive estimation
Dey, S
Moore, JB
ISSPA 96 - FOURTH INTERNATIONAL SYMPOSIUM ON SIGNAL PROCESSING AND ITS APPLICATIONS, PROCEEDINGS, VOLS 1 AND 2, 1996, : 849 - 852
[36] Infinite horizon risk sensitive control of discrete time Markov processes with small risk
Di Masi, GB
Stettner, L
SYSTEMS & CONTROL LETTERS, 2000, 40 (01) : 15 - 20
[37] Bellman equations of risk-sensitive control
Nagai, H
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1996, 34 (01) : 74 - 101
[38] Robust properties of risk-sensitive control
Dupuis, P
James, MR
Petersen, I
MATHEMATICS OF CONTROL SIGNALS AND SYSTEMS, 2000, 13 (04) : 318 - 332
[39] Risk-sensitive control of branching processes
Canbolat, Pelin G.
IISE TRANSACTIONS, 2021, 53 (08) : 914 - 927
[40] Robust properties of risk-sensitive control
Dupuis, Paul
James, Matthew R.
Petersen, Ian
Proceedings of the IEEE Conference on Decision and Control, 1998, 2 : 2365 - 2370

← 1 2 3 4 5 →