AustralieFrV1, Main, Exploration, bibRecord, 00D455

Finite-dimensional quasi-linear risk-sensitive control

Identifieur interne : 00D455 ( Main/Exploration ); précédent : 00D454; suivant : 00D456

Finite-dimensional quasi-linear risk-sensitive control

Auteurs : Lakhdar Aggoun [Nouvelle-Zélande] ; Alain Bensoussan [France] ; Robert J. Elliott [Canada] ; John B. Moore [Australie]

Source :

Systems & Control Letters [ 0167-6911 ] ; 1995.

RBID : ISTEX:D0D842656193859F2DD830D3CB66CF0A18559C5C

English descriptors

KwdEn :
- Adjoint process, Admissible control, Bensoussan, Complete filtration, Control optim, Control problem, Differential games, Dynamic games, Full state information, Ieee trans, Information state, Nonlinear, Optimal control, Recursion, Separation principle, Stochastic, Stochastic control, Stochastic control problem, Systems control letters, Value function.
Teeft :
- Adjoint process, Admissible control, Bensoussan, Complete filtration, Control optim, Control problem, Differential games, Dynamic games, Full state information, Ieee trans, Information state, Nonlinear, Optimal control, Recursion, Separation principle, Stochastic, Stochastic control, Stochastic control problem, Systems control letters, Value function.

Abstract

Abstract: A discrete-time partially observed stochastic control problem with exponential running cost is considered. The dynamics are linear and the running cost quadratic in the state variable, but the control may enter nonlinearly. Explicit solutions for a forward Zakai equation and a backward adjoint equation are derived in terms of finite-dimensional dynamics. This enables the partially observed problem to be expressed in finite-dimensional terms and a separation principle applied.

Url:

https://api.istex.fr/document/D0D842656193859F2DD830D3CB66CF0A18559C5C/fulltext/pdf

DOI: 10.1016/0167-6911(94)00073-5

Affiliations:

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Le document en format XML

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Finite-dimensional quasi-linear risk-sensitive control

Finite-dimensional quasi-linear risk-sensitive control

Source :

English descriptors

Abstract

Links toward previous steps (curation, corpus...)

Le document en format XML

Pour manipuler ce document sous Unix (Dilib)

Pour mettre un lien sur cette page dans le réseau Wicri