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Risk-sensitive linear/quadratic/gaussian control

Published online by Cambridge University Press:  01 July 2016

P. Whittle
P. Whittle*
Affiliation:
University of Cambridge
*
∗Postal address: Statistical Laboratory, University of Cambridge, 16 Mill Lane, Cambridge CB2 1SB, U.K.
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Abstract

The conventional linear/quadratic/Gaussian assumptions are modified in that minimisation of the expectation of cost G defined by (2) is replaced by minimisation of the criterion function (5). The scalar –θ is a measure of risk-aversion. It is shown that modified versions of certainty equivalence and the separation theorem still hold, that optimal control is still linear Markov, and state estimate generated by a version of the Kalman filter. There are also various new features, remarked upon in Sections 5 and 7. The paper generalises earlier work of Jacobson.

Keywords

LINEAR/QUADRATIC CONTROLRISK-SENSITIVITYCERTAINTY EQUIVALENCEKALMAN FILTER
Type
Research Article
Information
Advances in Applied Probability , Volume 13 , Issue 4 , December 1981 , pp. 764 - 777
Copyright
Copyright © Applied Probability Trust 1981 

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References

References

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Additional references

Kumar, P. R. and Van Schuppen, J. H. (1981) On the optimal control of stochastic systems with an exponential-of-integral performance index. J. Math. Anal. Appl. 80, 312–332.CrossRefGoogle Scholar
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