ISSN:
1435-568X
Schlagwort(e):
Nonlinear stochastic systems
;
Risk-sensitive optimal control
;
Differential games
;
Viscosity solutions
;
Large deviations
;
Asymptotic series
;
Robust control
Quelle:
Springer Online Journal Archives 1860-2000
Thema:
Elektrotechnik, Elektronik, Nachrichtentechnik
,
Mathematik
,
Technik allgemein
Notizen:
Abstract In this paper we consider a finite horizon, nonlinear, stochastic, risk-sensitive optimal control problem with complete state information, and show that it is equivalent to a stochastic differential game. Risk-sensitivity and small noise parameters are introduced, and the limits are analyzed as these parameters tend to zero. First-order expansions are obtained which show that the risk-sensitive controller consists of a standard deterministic controller, plus terms due to stochastic and game-theoretic methods of controller design. The results of this paper relate to the design of robust controllers for nonlinear systems.
Materialart:
Digitale Medien
URL:
http://dx.doi.org/10.1007/BF02134013
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