A hamiltonian formulation of risk-sensitive Linear/quadratic/gaussian control
From MaRDI portal
Publication:3743240
DOI10.1080/00207178608933445zbMath0604.93069OpenAlexW2000585268WikidataQ126245605 ScholiaQ126245605MaRDI QIDQ3743240
No author found.
Publication date: 1986
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207178608933445
Applications of statistics to economics (62P20) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Optimal stochastic control (93E20)
Related Items (7)
Risk-sensitivity, large deviations and stochastic control ⋮ Stochastic bargaining models ⋮ A risk-sensitive maximum principle ⋮ In between the \(LQG/H_2\)- and \(H_{\infty } \)-control theories ⋮ State-space formulae for all the stabilizing discrete controllers that satisfy anH∞norm bound Part 1. Main results and the full information problem ⋮ Entropy-minimising and risk-sensitive control rules ⋮ Nash equilibria of risk-sensitive nonlinear stochastic differential games
Cites Work
- On the optimal control of stochastic systems with an exponential-of- integral performance index
- Scattering theory and linear least squares estimation. II: Discrete-time problems
- A Note on Certainty Equivalence in Dynamic Planning
- Linear estimation of boundary value stochastic processes-- Part I: The role and construction of complementary models
- A Generalized Eigenvalue Approach for Solving Riccati Equations
- Risk-sensitive linear/quadratic/gaussian control
- An adaptive terminal guidance scheme based on an exponential cost criterion with application to homing missile guidance
- Optimization of stochastic linear systems with additive measurement and process noise using exponential performance criteria
- Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
- An Infinite-Horizon Discrete-Time Quadratic Program as Applied to a Monopoly Problem
- Continuous and Discrete Time Approaches to a Maximization Problem
This page was built for publication: A hamiltonian formulation of risk-sensitive Linear/quadratic/gaussian control