Risk-Sensitive Control and Dynamic Games for Partially Observed Discrete - Time Nonlinear Systems
| dc.contributor.author | James, Matthew R. | en_US |
| dc.contributor.author | Baras, John S. | en_US |
| dc.contributor.author | Elliott, Robert J. | en_US |
| dc.contributor.department | ISR | en_US |
| dc.date.accessioned | 2007-05-23T09:52:05Z | |
| dc.date.available | 2007-05-23T09:52:05Z | |
| dc.date.issued | 1992 | en_US |
| dc.description.abstract | In this paper we solve a finite-horizon partially observed risk- sensitive stochastic optimal control problem for discrete-time nonlinear systems, and obtain small noise and small risk limits. The small noise limit is interpreted as a deterministic partially observed dynamic game, and new insights into the optimal solution of such game problems are obtained. Both the risk-sensitive stochastic control problem and the deterministic dynamic game problem are solved using information states, dynamic programming, and associated separated policies. A certainty equivalence principle is also discussed. Our results have implications for the nonlinear robust stabilization problem. The small risk limits is a standard partially observed risk neutral stochastic optimal control problem. | en_US |
| dc.format.extent | 1027196 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.uri | http://hdl.handle.net/1903/5305 | |
| dc.language.iso | en_US | en_US |
| dc.relation.ispartofseries | ISR; TR 1992-124 | en_US |
| dc.subject | nonlinear partially observed stochastic systems | en_US |
| dc.subject | risk sensitive control | en_US |
| dc.subject | large deviations | en_US |
| dc.subject | differential games | en_US |
| dc.subject | output feedback robust control | en_US |
| dc.subject | Communication | en_US |
| dc.subject | Signal Processing Systems | en_US |
| dc.title | Risk-Sensitive Control and Dynamic Games for Partially Observed Discrete - Time Nonlinear Systems | en_US |
| dc.type | Technical Report | en_US |
Files
Original bundle
1 - 1 of 1