Title :
The relationship between minimum entropy control and risk-sensitive control for time-varying systems
Author :
Peters, Marc A. ; Iglesias, Pablo A.
Author_Institution :
Dept. of Electr. & Comput. Eng., Johns Hopkins Univ., Baltimore, MD, USA
fDate :
5/1/1999 12:00:00 AM
Abstract :
The connection between minimum entropy control and risk-sensitive control for linear time-varying systems is investigated. For time-invariant systems, the entropy functional and the linear exponential quadratic Gaussian cost are the same. In this paper, it is shown that this is not true for general time varying systems. It does hold, however, when the system admits a state-space representation
Keywords :
linear systems; minimum entropy methods; state-space methods; time-varying systems; entropy functional; linear exponential quadratic Gaussian cost; linear time-varying systems; minimum entropy control; risk-sensitive control; state-space representation; Australia; Automatic control; Control systems; Entropy; Filtering; Kalman filters; Optimal control; Robustness; State estimation; Time varying systems;
Journal_Title :
Automatic Control, IEEE Transactions on
