Finite-dimensional quasi-linear risk-sensitive control
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Detail(s)
Original language | English |
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Pages (from-to) | 151-157 |
Journal / Publication | Systems and Control Letters |
Volume | 25 |
Issue number | 2 |
Publication status | Published - 22 May 1995 |
Externally published | Yes |
Link(s)
Abstract
A discrete-time partially observed stochastic control problem with exponential running cost is considered. The dynamics are linear and the running cost quadratic in the state variable, but the control may enter nonlinearly. Explicit solutions for a forward Zakai equation and a backward adjoint equation are derived in terms of finite-dimensional dynamics. This enables the partially observed problem to be expressed in finite-dimensional terms and a separation principle applied. © 1995.
Research Area(s)
- Risk-sensitive partially observed stochastic control: Finite-dimensional information states
Citation Format(s)
Finite-dimensional quasi-linear risk-sensitive control. / Aggoun, Lakhdar; Bensoussan, Alain; Elliott, Robert J. et al.
In: Systems and Control Letters, Vol. 25, No. 2, 22.05.1995, p. 151-157.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review