Title :
Robust properties of risk-sensitive control
Author :
Dupuis, Paul ; James, Matthew R. ; Petersen, Ian
Author_Institution :
Div. of Appl. Math., Brown Univ., Providence, RI, USA
Abstract :
It is well-known that there are strong connections between risk-sensitive stochastic control and deterministic H∞ control. These connections have stimulated interest in the risk-sensitive control problem. But is the risk-sensitive controller robust? This paper answers this question in an affirmative and precise way, and gives a stochastic small gain theorem and a stochastic robust stability result
Keywords :
H∞ control; differential equations; differential games; robust control; stochastic systems; H∞ control; differential games; risk-sensitive control; robust control; stochastic control; stochastic differential equations; stochastic small gain theorem; Australia; Control systems; Cost function; Jacobian matrices; Performance gain; Riccati equations; Robust control; Robustness; Stochastic processes; Uncertainty;
Conference_Titel :
Decision and Control, 1998. Proceedings of the 37th IEEE Conference on
Conference_Location :
Tampa, FL
Print_ISBN :
0-7803-4394-8
DOI :
10.1109/CDC.1998.758698
