A Finite-Dimensional Risk-Sensitive Control Problem

DOI10.1137/S0363012993255879MaRDI QIDQ4862439zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Alain Bensoussan

Publication date 8 February 1996

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0363012993255879

zbMATH Keywords

exponential running costfinite-dimensional dynamicspartially observed stochastic controlquadraticrisk sensitiveseparation principleZakai equation

Mathematics Subject Classification ID

Nonlinear systems in control theory (93C10) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

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Cited in

(19)

• On the application of minimum principle for solving partially observable risk-sensitive control problems
• Finite-dimensional solutions of a modified Zakai equation
• Robust adaptive control for linear systems with unknown parameters
• Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
• Risk-sensitive and risk-neutral control for continuous-time hidden Markov models
• Risk sensitive nonlinear filtering with correlated noises
• An eigenvalue approach to the risk sensitive control problem in near monotone case
• On the global convergence of relative value iteration for infinite-horizon risk-sensitive control of diffusions
• scientific article; zbMATH DE number 48691 (Why is no real title available?)
• scientific article; zbMATH DE number 1494212 (Why is no real title available?)
• General finite-dimensional risk-sensitive problems and small noise limits
• Risk-sensitive control and an abstract Collatz-Wielandt formula
• Infinite Horizon Average Cost Dynamic Programming Subject to Total Variation Distance Ambiguity
• Dynamic programming subject to total variation distance ambiguity
• Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem
• Dissipativity and risk-sensitivity in control problems
• Finite- dimensional optimal controllers for nonlinear plants
• Finite-dimensional quasi-linear risk-sensitive control
• Partially observable optimal control using exponential cost criterion

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