Finite-dimensional quasi-linear risk-sensitive control

DOI10.1016/0167-6911(94)00073-5MaRDI QIDQ673558zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 440541 (Why is no real title available?)
• scientific article; zbMATH DE number 3489933 (Why is no real title available?)
• A Finite-Dimensional Risk-Sensitive Control Problem
• A risk-sensitive maximum principle
• Asymptotic analysis of nonlinear stochastic risk-sensitive control and differential games
• Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
• Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
• Risk-sensitive linear/quadratic/gaussian control

Cited in

(8)

• Risk-sensitive filtering and smoothing for hidden Markov models
• Risk-Aware Linear Quadratic Control Using Conditional Value-at-Risk
• scientific article; zbMATH DE number 1494212 (Why is no real title available?)
• Risk-sensitive control for a class of nonlinear systems with multiplicative noise
• A Finite-Dimensional Risk-Sensitive Control Problem
• Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem
• The finite–horizon version for a partially–observed stochastic control problem of benesš & rishel
• A hamiltonian formulation of risk-sensitive Linear/quadratic/gaussian control

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