Risk-sensitive/integral control for systems with point process observations

Author

Charalambous, Charalambos D. ; Hibey, Joseph L.

Author_Institution

Coll. of Eng., Idaho State Univ., Pocatello, ID, USA

Volume

3

fYear

1994

Firstpage

2182

Abstract

This paper deals with necessary conditions for integral and exponential-of-integral cost functions, when the signal is a controlled diffusion process, and the observations consist of continuous and discontinuous processes. These problems are reformulated as infinite dimensional stochastic problems having full information, with state of the Zakai equation for the integral cost, and the information state for the exponential-of-integral cost. The approach is the one considered by Bensoussan (1992) for the case of integral cost with continuous observations

Keywords

multidimensional systems; stochastic processes; stochastic systems; Risk-sensitive/integral control; Zakai equation; continuous process; cost functions; diffusion process; discontinuous process; exponential-of-integral cost; infinite dimensional stochastic control; necessary conditions; point process observations; Control engineering; Control systems; Cost function; Diffusion processes; Educational institutions; Electric variables measurement; Indium tin oxide; Integral equations; Process control; Stochastic processes;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1994., Proceedings of the 33rd IEEE Conference on

Conference_Location

Lake Buena Vista, FL

Print_ISBN

0-7803-1968-0

Type

conf

DOI

10.1109/CDC.1994.411406

Filename

411406