Institute for Systems Research

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Subject: search.filters.subject.differential games

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    Output Feedback Risk - Sensitive Control and Differential Games for Continuous - Time Nonlinear Systems
    (1993) James, Matthew R.; Baras, John S.; Elliott, Robert J.; ISR
    In this paper we carry out a formal analysis of an output feedback risk-sensitive stochastic control problem. Using large deviation limits, this problem is related to a deterministic output feedback differential game. Both problems are solved using appropriate information states. The use of an information state for the game problem is new, and is the principal contribution of our work. Our results have implications for the nonlinear robust stabilization problem.
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    Risk-Sensitive Control and Dynamic Games for Partially Observed Discrete - Time Nonlinear Systems
    (1992) James, Matthew R.; Baras, John S.; Elliott, Robert J.; ISR
    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.