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Risk-sensitive control, differential games, and limiting problems in infinite dimensions
(IEEE, 1994)
In this paper we present the solutions of the stochastic finite and infinite horizon risk-sensitive control problems in infinite dimensions, with μ, ε > 0, respectively, representing the risk-sensitivity and small noise ...
Examples of optimal control for nonlinear stochastic control problems with partial information
(IEEE, 1995)
Partially observable stochastic optimal control problems are considered. It is shown, via an information state approach and dynamic programming, that several classes of nonlinear systems with non-linearities in the dynamics ...
Solvable risk-sensitive control problems with output feedback
(IEEE, 1994)
In this paper a partially observed nonlinear stochastic control with exponential running cost is considered. Explicit solutions for evaluating expectations of exponential functions are found when the control is assumed to ...
New finite-dimensional risk-sensitive filters: Small-noise limits
(IEEE, 1997)
This paper is concerned with continuous-time nonlinear risk-sensitive filters. It is shown that for large classes of nonlinearities entering both the dynamics and measurements, these filters are finite-dimensional, ...
Lie algebraic methods in optimal control of stochastic systems with exponential-of-integral sample cost: Examples
(1998)
The optimal control of partially observed stochastic systems with exponential-of-integral-sample cost is considered. The concept of sufficient statistic algebra is introduced to construct finite-dimensional controllers. ...
Certain results concerning filtering and control of diffusions in small white noise
(IEEE, 1997)
The purpose of this talk is twofold. First, we examine in detail the binary hypothesis decision and/or estimation problem using a risk-sensitive cost criterion, when the state and observation processes are diffusion signals. ...