Stationary risk-sensitive LQG control and its relation to LQG and H-infinity control
Unknown, pp. 1018–1023 vol.2 (1990)
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
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
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