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

被引：21
|
作者：
Fleming, WH [1 ]
Hernández-Hernández, D
机构：
[1] Brown Univ, Div Appl Math, Providence, RI 02912 USA
[2] Inst Politecn Nacl, CINVESTAV, Dept Math, Mexico City 07000, DF, Mexico
来源：
SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1999年 / 37卷 / 04期
关键词：
risk-sensitive control; robust control; dynamic games; information states;
D O I：
10.1137/S0363012997321498
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 present a sequel of [Fleming and Hernandez-Hernandez, SIAM J. Control Optim., 35 (1997), pp. 1790-1810], extending those results to discrete time, output feedback (partial state information) systems. Our aim is to study both robust and risk-sensitive control of such systems on an infinite horizon. Appropriate information states are defined for each case, and dynamic programming results are obtained.
引用
收藏
页码：1048 / 1069
页数：22
相关论文
共 50 条
  • [41] 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
  • [42] Nonzero-sum risk-sensitive finite-horizon continuous-time stochastic games
    Wei, Qingda
    STATISTICS & PROBABILITY LETTERS, 2019, 147 : 96 - 104
  • [43] Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion
    Wei, Qingda
    MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2016, 84 (03) : 461 - 487
  • [44] RISK-SENSITIVE MARKOV CONTROL PROCESSES
    Shen, Yun
    Stannat, Wilhelm
    Obermayer, Klaus
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2013, 51 (05) : 3652 - 3672
  • [45] A maximum principle for risk-sensitive control
    Lim, AEB
    Zhou, XY
    42ND IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-6, PROCEEDINGS, 2003, : 5819 - 5824
  • [46] Risk-Sensitive Optimal Control of Queues
    Singh, Rahul
    Guo, Xueying
    Modiano, Eytan
    2017 IEEE 56TH ANNUAL CONFERENCE ON DECISION AND CONTROL (CDC), 2017,
  • [47] Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion
    Qingda Wei
    Mathematical Methods of Operations Research, 2016, 84 : 461 - 487
  • [48] Remarks on risk-sensitive control problems
    Menaldi, JL
    Robin, M
    APPLIED MATHEMATICS AND OPTIMIZATION, 2005, 52 (03): : 297 - 310
  • [49] Remarks on Risk-Sensitive Control Problems
    Jose-Luis Menaldi
    Maurice Robin
    Applied Mathematics and Optimization, 2005, 52 : 297 - 310
  • [50] Robust properties of risk-sensitive control
    Dupuis, P
    James, MR
    Petersen, I
    PROCEEDINGS OF THE 37TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-4, 1998, : 2365 - 2370
12345