Title :
Risk-sensitive control: a bridge between H2 and H∞ control
Author :
Campi, Marco C. ; James, Matthew R.
Author_Institution :
Brescia Univ., Italy
Abstract :
The paper is devoted to the study of the connections among risk-sensitive stochastic optimal control, dynamic game optimal control, risk-neutral stochastic optimal control and deterministic optimal control in a nonlinear, discrete-time context with complete state information. The analysis worked out sheds light on the profound links among these control strategies, which remain hidden in the linear context. In particular, risk-sensitive control combines features of both stochastic risk-neutral (H2) control and deterministic dynamic game (H∞) control
Keywords :
discrete time systems; game theory; nonlinear control systems; optimal control; stochastic systems; H∞ control; H2 control; deterministic optimal control; dynamic game optimal control; nonlinear discrete-time system; risk-neutral stochastic optimal control; risk-sensitive control; Adaptive systems; Bridges; Control systems; Cost function; Hydrogen; Jacobian matrices; Optimal control; Programmable control; Robust control; Stochastic processes;
Conference_Titel :
Decision and Control, 1993., Proceedings of the 32nd IEEE Conference on
Conference_Location :
San Antonio, TX
Print_ISBN :
0-7803-1298-8
DOI :
10.1109/CDC.1993.325584
