Title :
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
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;
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
DOI :
10.1109/CDC.1994.411406
