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
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;
Conference_Titel :
Decision and Control, 1992., Proceedings of the 31st IEEE Conference on
Conference_Location :
Tucson, AZ
Print_ISBN :
0-7803-0872-7
DOI :
10.1109/CDC.1992.371436
