Title :
Stationary risk-sensitive LQG control and its relation to LQG and H-infinity control
Author :
Runolfsson, Thordur
Author_Institution :
Dept. of Electr. & Comput. Eng., Johns Hopkins Univ., Baltimore, MD, USA
Abstract :
A method is introduced for the analysis of the infinite-time risk-sensitive linear quadratic Gaussian (LQG) control problem. A stationary form of the infinite-time cost functional is derived, and optimal conditions in the form of a Bellman equation are derived. A simple solution is presented for the state-feedback case. The relationship between risk-sensitive LQG control and LQG and H-infinity control is explained. The approach is based on the theory of large deviations from the invariant measure
Keywords :
control system synthesis; optimal control; stability; Bellman equation; LQG and H∞ control; infinite-time cost functional; state-feedback control; stationary risk-sensitive LQG control; Control systems; Cost function; Equations; H infinity control; Indium tin oxide; Marine vehicles; Risk analysis; Space stations; Stochastic systems; White noise;
Conference_Titel :
Decision and Control, 1990., Proceedings of the 29th IEEE Conference on
Conference_Location :
Honolulu, HI
DOI :
10.1109/CDC.1990.203751
