Skip to content
University of Maryland LibrariesDigital Repository at the University of Maryland
    • Login
    View Item 
    •   DRUM
    • A. James Clark School of Engineering
    • Institute for Systems Research Technical Reports
    • View Item
    •   DRUM
    • A. James Clark School of Engineering
    • Institute for Systems Research Technical Reports
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Risk-Sensitive Control and Dynamic Games for Partially Observed Discrete - Time Nonlinear Systems

    Thumbnail
    View/Open
    TR_92-124.pdf (1003.Kb)
    No. of downloads: 1315

    Date
    1992
    Author
    James, Matthew R.
    Baras, John S.
    Elliott, Robert J.
    Metadata
    Show full item record
    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.
    URI
    http://hdl.handle.net/1903/5305
    Collections
    • Institute for Systems Research Technical Reports

    DRUM is brought to you by the University of Maryland Libraries
    University of Maryland, College Park, MD 20742-7011 (301)314-1328.
    Please send us your comments.
    Web Accessibility
     

     

    Browse

    All of DRUMCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

    My Account

    LoginRegister
    Pages
    About DRUMAbout Download Statistics

    DRUM is brought to you by the University of Maryland Libraries
    University of Maryland, College Park, MD 20742-7011 (301)314-1328.
    Please send us your comments.
    Web Accessibility