The equivalence between infinite-horizon optimal control of stochastic systems with exponential-of-integral performance index and stochastic differential games

Author

Runolfsson, Thordur

Author_Institution

Dept. of Electr. & Comput. Eng., Johns Hopkins Univ., Baltimore, MD, USA

Volume

39

Issue

8

fYear

1994

fDate

8/1/1994 12:00:00 AM

Firstpage

1551

Lastpage

1563

Abstract

A new method, based on the theory of large deviations from the invariant measure, is introduced for the analysis of stochastic systems with an infinite-horizon exponential-of-integral performance index. It is shown that the infinite-horizon optimal exponential-of-integral stochastic control problem is equivalent to a stationary stochastic differential game for an auxiliary system. As an application of the developed technique, the infinite-horizon risk-sensitive LQG problem is analyzed for both the completely observed and partially observed case

Keywords

control system analysis; game theory; optimal control; performance index; stochastic systems; completely observed; exponential-of-integral performance index; infinite-horizon optimal control; infinite-horizon risk-sensitive LQG problem; large deviations; partially observed; stationary stochastic differential game; stochastic systems; Control systems; Costs; Game theory; Indium tin oxide; Infinite horizon; Motion control; Optimal control; Performance analysis; Risk analysis; Stochastic systems;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/9.310029

Filename

310029