Risk-sensitive optimal control for jump systems with application to sampled-data systems

DOI10.1080/00207720117545MaRDI QIDQ3153768zbMATH OpenOpenAlexFDO

Authors Jun Yoneyama

Publication date 23 February 2004

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207720117545

zbMATH Keywords

information statepartially observed jump systemsrisk-sensitive stochastic optimal controlsampled-data systemssmall-noise limitsmall-risk limit

Mathematics Subject Classification ID

Sampled-data control/observation systems (93C57) Optimal stochastic control (93E20)

Review text

This paper deals with risk-sensitive stochastic optimal control problems for partially observed jump systems with sampled inputs and sampled observations, which include sampled-data systems. Using the change in probability measure, the author derives the expression of the information state and obtains explicitly the risk-sensitive optimal controllers for jump systems and sampled-data systems, under suitable assumptions. He also considers the infinite-time case of the problems. Furthermore, asymptotic behaviors of small-noise limit and small-risk limit of the problems are analyzed.

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Cited in

(1)

• STOCHASTIC OPTIMAL CONTROL FOR JUMP SYSTEMS WITH APPLICATION TO SAMPLED-DATA SYSTEMS

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