Title :
Infinite horizon risk-sensitive control of nonlinear discrete time systems
Author :
Runolfsson, Thordur
Author_Institution :
Dept. of Electr. & Comput. Eng., Johns Hopkins Univ., Baltimore, MD, USA
Abstract :
We consider the infinite horizon risk-sensitive control problem for a discrete time stochastic system defined in terms of a sequence of multidimensional i.i.d. Gaussian random variables with mean zero and variance. A cost functional is to be minimized over an appropriate set of control policies. A method of analysis is given
Keywords :
nonlinear control systems; cost functional minimization; discrete time stochastic system; infinite-horizon risk-sensitive control; multidimensional i.i.d. Gaussian random variable sequence; nonlinear discrete time systems; Continuous time systems; Control systems; Cost function; Discrete time systems; Infinite horizon; Nonlinear control systems; Nonlinear systems; Random variables; Risk analysis; Stochastic systems;
Conference_Titel :
Decision and Control, 1997., Proceedings of the 36th IEEE Conference on
Conference_Location :
San Diego, CA
Print_ISBN :
0-7803-4187-2
DOI :
10.1109/CDC.1997.657111
