conference-paper Closed Access EN 1990-01-01

Stationary risk-sensitive LQG control and its relation to LQG and H-infinity control

Thordur Runolfsson

Unknown, pp. 1018–1023 vol.2 (1990)

DOI: 10.1109/cdc.1990.203751

Abstract

A method is introduced for the analysis of the infinite-time risk-sensitive linear quadratic Gaussian (LQG) control problem. A stationary form of the infinite-time cost functional is derived, and optimal conditions in the form of a Bellman equation are derived. A simple solution is presented for the state-feedback case. The relationship between risk-sensitive LQG control and LQG and H-infinity control is explained. The approach is based on the theory of large deviations from the invariant measure.>

Topics

Control Systems and Identification 1.00 Fault Detection and Control Systems 1.00 Advanced Control Systems Optimization 1.00

Field: Engineering · Subfield: Control and Systems Engineering

Keywords

Linear-quadratic-Gaussian control,Optimal projection equations,Linear-quadratic regulator,Control theory (sociology),Mathematics,Optimal control,Gaussian,Controller (irrigation),Applied mathematics,Control (management)

Citations by Year

202520232021202020172012
123121
0.00
FWCI
24%
Normalized Pctile
13
References
1
Authors

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