A risk-sensitive maximum principle: the case of imperfect state observation

DOI10.1109/9.85059zbMath0752.93079OpenAlexW2100829390MaRDI QIDQ3987144

Peter Whittle

Publication date: 28 June 1992

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/9.85059

zbMATH Keywords

large deviationnonlinear filteringstochastic maximum principleincomplete observationrisk sensitivity

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Control/observation systems with incomplete information (93C41) Observability (93B07) Optimal stochastic control (93E20) Large deviations (60F10) Optimality conditions for problems involving randomness (49K45)

Related Items (20)

Optimal control of a stochastic system with an exponential-of-integral performance criterion ⋮ Risk-sensitivity, large deviations and stochastic control ⋮ Connections between stochastic control and dynamic games ⋮ Dissipative stochastic differential systems with risk-sensitive storage function and control design problems ⋮ Dissipativity and risk-sensitivity in control problems ⋮ Optimal control using an algebraic method for control-affine non-linear systems ⋮ Variational and optimal control representations of conditioned and driven processes ⋮ Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type ⋮ On the singular risk-sensitive stochastic maximum principle ⋮ A dual control problem and application to marketing ⋮ Risk sensitive and LEG filtering problems are not equivalent ⋮ New results in the Lyapunov-type algorithm for algebraic MCV Riccati equations ⋮ \(H_{\infty}\)-like control for nonlinear stochastic systems ⋮ Large deviation limit for discrete-time, totally observed stochastic control problems with multiplicative cost ⋮ Risk-Sensitive Mean-Field Type Control Under Partial Observation ⋮ Robustness to Incorrect Priors in Partially Observed Stochastic Control ⋮ Nash equilibria of risk-sensitive nonlinear stochastic differential games ⋮ Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control ⋮ Dynamic Programming Subject to Total Variation Distance Ambiguity ⋮ On asymptotic stability of continuous-time risk-sensitive filters with respect to initial conditions

This page was built for publication: A risk-sensitive maximum principle: the case of imperfect state observation