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NONLINEAR DISCRETE‐TIME RISK‐SENSITIVE OPTIMAL CONTROL
Author(s) -
CAMPI MARCO C.,
JAMES MATTHEW R.
Publication year - 1996
Publication title -
international journal of robust and nonlinear control
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.361
H-Index - 106
eISSN - 1099-1239
pISSN - 1049-8923
DOI - 10.1002/(sici)1099-1239(199601)6:1<1::aid-rnc128>3.0.co;2-3
Subject(s) - stochastic control , context (archaeology) , control (management) , optimal control , control theory (sociology) , nonlinear system , computer science , discrete time and continuous time , state (computer science) , mathematical optimization , sequential game , mathematics , game theory , mathematical economics , algorithm , artificial intelligence , statistics , paleontology , physics , quantum mechanics , biology
This paper is devoted to the study of the connections among risk‐sensitive stochastic optimal control, dynamic game optimal control, risk‐neutral stochastic optimal control and deterministic optimal control in a nonlinear, discrete‐t ime context with complete state information. The analysis worked out sheds light on the profound links among these control strategies, which remain hidden in the linear context. In particular, it is shown that, under suitable parameterizations, risk‐sensi tive control can be regarded as a control methodology which combines features of both stochastic risk‐neutral control and deterministic dynamic game control.