Finite-dimensional quasi-linear risk-sensitive control

DOI10.1016/0167-6911(94)00073-5zbMATH Open0877.93138OpenAlexW2085947017MaRDI QIDQ673558FDOQ673558

Authors: Lakhdar Aggoun, Alain Bensoussan, Robert J. Elliott, John Moore 

Publication date: 28 February 1997

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(94)00073-5

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zbMATH Keywords

separation principleFinite-dimensional information statesRisk-sensitive partially observed stochastic control

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

Cites Work

• Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
• Title not available (Why is that?)
• Asymptotic analysis of nonlinear stochastic risk-sensitive control and differential games
• Risk-sensitive linear/quadratic/gaussian control
• A Finite-Dimensional Risk-Sensitive Control Problem
• A risk-sensitive maximum principle
• Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
• Title not available (Why is that?)

Cited In (8)

• Risk-Aware Linear Quadratic Control Using Conditional Value-at-Risk
• Risk-sensitive filtering and smoothing for hidden Markov models
• Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem
• A Finite-Dimensional Risk-Sensitive Control Problem
• Risk-sensitive control for a class of nonlinear systems with multiplicative noise
• Title not available (Why is that?)
• A hamiltonian formulation of risk-sensitive Linear/quadratic/gaussian control
• The finite–horizon version for a partially–observed stochastic control problem of benesš & rishel

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