DocumentCode
2411597
Title
Risk sensitive control with ergodic cost criteria
Author
Fleming, Wendell H. ; McEneaney, William M.
Author_Institution
Div. of Appl. Math., Brown Univ., Providence, RI, USA
fYear
1992
fDate
1992
Firstpage
2048
Abstract
Stochastic control problems on an infinite time horizon with exponential cost criteria are considered. The Donsker-Varadhan large deviation rate (1975, 1976) is used as a criterion to be optimized. The optimum rate is characterized as the value of an associated stochastic differential game, with an ergodic (expected average cost per unit time) cost criterion. By taking a small-noise limit a deterministic differential game with an average cost per unit time cost criterion is obtained. This differential game is related to robust control of nonlinear systems
Keywords
differential equations; game theory; stochastic systems; ergodic cost criteria; exponential cost criteria; infinite time horizon; large deviation rate optimization; nonlinear systems robust control; risk-sensitive control; small-noise limit; stochastic control problems; stochastic differential game; Attenuation; Cost function; Eigenvalues and eigenfunctions; Infinite horizon; Nonlinear systems; Optimal control; Process control; Robust control; Stochastic processes; Stochastic resonance;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1992., Proceedings of the 31st IEEE Conference on
Conference_Location
Tucson, AZ
Print_ISBN
0-7803-0872-7
Type
conf
DOI
10.1109/CDC.1992.371436
Filename
371436
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