Title :
Partially observable nonlinear risk-sensitive control problems: dynamic programming and verification theorems
Author :
Charalambous, Charalambos D.
Author_Institution :
Dept. of Electr. Eng., McGill Univ., Montreal, Que., Canada
fDate :
8/1/1997 12:00:00 AM
Abstract :
In this paper, we consider continuous-time partially observable optimal control problems with exponential-of-integral cost criteria. We derive a rigorous verification theorem when the state and control enter nonlinear in the dynamics. In addition, we show that the quadratic sensor problem is estimation-solvable with respect to a certain cost criterion. The framework relies on dynamic programming and the Hamilton-Jacobi theory
Keywords :
continuous time systems; differential equations; dynamic programming; filtering theory; multidimensional systems; nonlinear control systems; observers; optimal control; stochastic processes; stochastic systems; Hamilton-Jacobi theory; continuous-time partially observable optimal control problems; cost criterion; dynamic programming; exponential-of-integral cost criteria; partially observable nonlinear risk-sensitive control problems; quadratic sensor problem; verification theorems; Arithmetic; Automatic control; Control theory; Differential equations; Dynamic programming; Nonlinear control systems; Optimal control; Reduced order systems; Stochastic processes; Upper bound;
Journal_Title :
Automatic Control, IEEE Transactions on
