DocumentCode :
1089653
Title :
Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems
Author :
James, Matthew R. ; Baras, John S. ; Elliott, Robert J.
Author_Institution :
Dept. of Syst. Eng., Australian Nat. Univ., Canberra, ACT, Australia
Volume :
39
Issue :
4
fYear :
1994
fDate :
4/1/1994 12:00:00 AM
Firstpage :
780
Lastpage :
792
Abstract :
Solves a finite-horizon partially observed risk-sensitive stochastic optimal control problem for discrete-time nonlinear systems and obtains small noise and small risk limits. The small noise limit is interpreted as a deterministic partially observed dynamic game, and new insights into the optimal solution of such game problems are obtained. Both the risk-sensitive stochastic control problem and the deterministic dynamic game problem are solved using information states, dynamic programming, and associated separated policies. A certainty equivalence principle is also discussed. The authors´ results have implications for the nonlinear robust stabilization problem. The small risk limit is a standard partially observed risk-neutral stochastic optimal control problem
Keywords :
discrete time systems; dynamic programming; game theory; nonlinear control systems; optimal control; stability; state estimation; stochastic systems; certainty equivalence principle; deterministic partially observed dynamic game; dynamic programming; finite-horizon partially observed risk-sensitive stochastic optimal control problem; information states; nonlinear robust stabilization problem; partially observed discrete-time nonlinear systems; small noise limit; small risk limits; standard partially observed risk-neutral stochastic optimal control problem; Control systems; Dynamic programming; Nonlinear control systems; Nonlinear systems; Optimal control; Robust control; Robustness; Stochastic processes; Stochastic resonance; Stochastic systems;
fLanguage :
English
Journal_Title :
Automatic Control, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9286
Type :
jour
DOI :
10.1109/9.286253
Filename :
286253
Link To Document :
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