Applications of minimum principle for continuous-time partially observable risk-sensitive control problems

Author

Charalambous, Charalambos D. ; Hibey, Joseph L.

Author_Institution

Dept. of Electr. Eng., McGill Univ., Montreal, Que., Canada

Volume

4

fYear

1995

fDate

13-15 Dec 1995

Firstpage

3420

Abstract

This paper employs the minimum principle we derived previously (1995) for nonlinear partially observable exponential of integral control problems, to solve linear-exponential-quadratic-Gaussian (LEQG) tracking problems using two different approaches. This minimum principle consists of an information state equation, an adjoint equation with terminal condition, and a Hamiltonian functional. The two approaches used to solve LEQG problems are particularly attractive because they do not assume a certainty equivalence principle

Keywords

continuous time systems; linear quadratic Gaussian control; minimum principle; nonlinear control systems; observers; optimal control; partial differential equations; stochastic systems; tracking; Hamiltonian functional; continuous-time systems; information state equation; linear-exponential-quadratic-Gaussian tracking; optimal control; partially observable risk-sensitive control; random processes; stochastic differential equations; stochastic minimum principle; tracking problem; Control systems; Cost function; Integral equations; Nonlinear equations; Optimal control; Partial differential equations; Stochastic processes; Stochastic systems; Vectors;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1995., Proceedings of the 34th IEEE Conference on

Conference_Location

New Orleans, LA

ISSN

0191-2216

Print_ISBN

0-7803-2685-7

Type

conf

DOI

10.1109/CDC.1995.479018

Filename

479018