Risk sensitive control of finite state machines on an infinite horizon. I

Robust and risk sensitive control of discrete time, finite state systems on an infinite horizon is considered, with either state or output feedback. The solution of the state feedback robust control problem is characterized in terms of the value of an average cost dynamic game. The risk sensitive st...

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Bibliographic Details
Published inProceedings of the 36th IEEE Conference on Decision and Control Vol. 4; pp. 3407 - 3412 vol.4
Main Authors Fleming, W.H., Hernandez-Hernandez, D.
Format Conference Proceeding
LanguageEnglish
Published IEEE 1997
Subjects
Automata
Control systems
Cost function
Infinite horizon
Information analysis
Optimal control
Output feedback
Robust control
State feedback
Stochastic resonance
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ISBN0780341872
9780780341876
ISSN0191-2216
DOI10.1109/CDC.1997.652374

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Summary:Robust and risk sensitive control of discrete time, finite state systems on an infinite horizon is considered, with either state or output feedback. The solution of the state feedback robust control problem is characterized in terms of the value of an average cost dynamic game. The risk sensitive stochastic optimal control problem is solved using the policy iteration algorithm, and the optimal rate is expressed in terms of the value of a stochastic dynamic game with average cost per unit time criterion. By taking a small noise limit a deterministic dynamic game is obtained, which is closely related to the robust control problem. For the problem with output feedback (partial state information) the analysis depends on introducing appropriate information states for the risk sensitive and robust control problems.
ISBN:0780341872
9780780341876
ISSN:0191-2216
DOI:10.1109/CDC.1997.652374