The role of information state and adjoint in relating nonlinear output feedback risk-sensitive control and dynamic games (Q4357997)
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scientific article; zbMATH DE number 1067121
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| English | The role of information state and adjoint in relating nonlinear output feedback risk-sensitive control and dynamic games |
scientific article; zbMATH DE number 1067121 |
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The role of information state and adjoint in relating nonlinear output feedback risk-sensitive control and dynamic games (English)
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12 May 1998
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stochastic control
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partially observable risk-sensitive control
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dynamic games
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small noise limit
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0.8633316159248352
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0.8084912896156311
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This paper deals with relations between continuous-time nonlinear partially observable risk-sensitive control problems and dynamic games. The author introduced an information state which converts a partially observable system to an equivalent complete observable one. Using this information state approach, he obtained the following results: 1. The logarithmic transformation of the stochastic information state is related to a deterministic information state which depends on the observation path. 2. In the small noise limit, the cost function is logarithmic equivalent to the cost function of an analogous dynamic game.
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