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http://bura.brunel.ac.uk/handle/2438/11661
Title: | Generalised risk-sensitive control with full and partial state observation |
Authors: | Date, P Gashi, B |
Keywords: | Risk-sensitive regulator;Change of measure;Risk-sensitive filter |
Issue Date: | 2014 |
Citation: | Journal of Mathematical Modelling and Algorithms, 2014, 13 (1), pp. 87-101 |
Abstract: | This paper generalises the risk-sensitive cost functional by introducing noise dependent penalties on the state and control variables. The optimal control problems for the full and partial state observation are considered. Using a change of probability measure approach, explicit closed-form solutions are found in both cases. This has resulted in a new risk-sensitive regulator and filter, which are generalisations of the well-known classical results. |
URI: | http://bura.brunel.ac.uk/handle/2438/11661 |
DOI: | http://dx.doi.org/10.1007/s10852-012-9205-5 |
ISSN: | 1570-1166 1572-9214 |
Appears in Collections: | Dept of Mathematics Research Papers |
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