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Author Runolfsson, T.
Sponsorship IEEE Control Systems Society
Source IEEE Xplore Digital Library
Content type Text
Publisher Institute of Electrical and Electronics Engineers, Inc. (IEEE)
File Format PDF
Copyright Year ©1963
Language English
Subject Domain (in DDC) Natural sciences & mathematics ♦ Physics ♦ Electricity & electronics
Subject Keyword Optimal control ♦ Stochastic systems ♦ Performance analysis ♦ Control systems ♦ Costs ♦ Game theory ♦ Indium tin oxide ♦ Infinite horizon ♦ Risk analysis ♦ Motion control
Abstract A new method, based on the theory of large deviations from the invariant measure, is introduced for the analysis of stochastic systems with an infinite-horizon exponential-of-integral performance index. It is shown that the infinite-horizon optimal exponential-of-integral stochastic control problem is equivalent to a stationary stochastic differential game for an auxiliary system. As an application of the developed technique, the infinite-horizon risk-sensitive LQG problem is analyzed for both the completely observed and partially observed case.<<ETX>>
Description Author affiliation :: Dept. of Electr. & Comput. Eng., Johns Hopkins Univ., Baltimore, MD, USA
ISSN 00189286
Education Level UG and PG
Learning Resource Type Article
Publisher Date 1994-08-01
Publisher Place U.S.A.
Rights Holder Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Volume Number 39
Issue Number 8
Size (in Bytes) 955.44 kB
Page Count 13
Starting Page 1551
Ending Page 1563


Source: IEEE Xplore Digital Library