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DC Field | Value | Language |
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dc.contributor.author | Date, P | - |
dc.contributor.author | Gashi, B | - |
dc.date.accessioned | 2015-11-30T13:47:46Z | - |
dc.date.available | 2012 | - |
dc.date.available | 2015-11-30T13:47:46Z | - |
dc.date.issued | 2014 | - |
dc.identifier.citation | Journal of Mathematical Modelling and Algorithms, 2014, 13 (1), pp. 87-101 | en_US |
dc.identifier.issn | 1570-1166 | - |
dc.identifier.issn | 1572-9214 | - |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/11661 | - |
dc.description.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. | en_US |
dc.language.iso | en | en_US |
dc.subject | Risk-sensitive regulator | en_US |
dc.subject | Change of measure | en_US |
dc.subject | Risk-sensitive filter | en_US |
dc.title | Generalised risk-sensitive control with full and partial state observation | en_US |
dc.type | Article | en_US |
dc.identifier.doi | http://dx.doi.org/10.1007/s10852-012-9205-5 | - |
dc.relation.isPartOf | Journal of Mathematical Modelling and Algorithms | - |
pubs.publication-status | Published | - |
pubs.publication-status | Published | - |
pubs.volume | forthcoming | - |
Appears in Collections: | Dept of Mathematics Research Papers |
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FullText.pdf | 242.62 kB | Adobe PDF | View/Open |
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