Title :
Some results on risk-sensitive control with full observation
Author :
Bensoussan, A. ; Frehse, J. ; Nagai, H.
Author_Institution :
Univ. Paris Dauphine, France
Abstract :
We consider in this presentation the risk-sensitive control problem under fairly general assumptions, in particular as far growth conditions are concerned. This is a much more delicate issue than in the classical stochastic control problem. We then consider the case of small variance of the noises and study the limit, which is related to robust control. The limit problem corresponds to a differential game. In this paper, the complete observation case is considered
Keywords :
differential games; noise; observers; robust control; stochastic systems; differential game; full observation; risk-sensitive control; robust control; stochastic control; Control theory; Dynamic programming; Equations; Green function; H infinity control; Jacobian matrices; Optimal control; Robust control; Stochastic processes; Stochastic resonance;
Conference_Titel :
Decision and Control, 1995., Proceedings of the 34th IEEE Conference on
Conference_Location :
New Orleans, LA
Print_ISBN :
0-7803-2685-7
DOI :
10.1109/CDC.1995.480377
