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

Volume

42

Issue

8

fYear

1997

fDate

8/1/1997 12:00:00 AM

Firstpage

1130

Lastpage

1138

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;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/9.618242

Filename

618242