The role of information state and adjoint in relating nonlinear output feedback risk-sensitive control and dynamic games
Date
1997Source
IEEE Transactions on Automatic ControlVolume
42Issue
8Pages
1163-1170Google Scholar check
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This paper employs logarithmic transformations to establish relations between continuous-time nonlinear partially observable risk-sensitive control problems and analogous output feedback dynamic games. The first logarithmic transformation is introduced to relate the stochastic information state to a deterministic information state. The second logarithmic transformation is applied to the risk-sensitive cost function using the Laplace-Varadhan lemma. In the small noise limit, this cost function is shown to be logarithmically equivalent to the cost function of an analogous dynamic game.
DOI
10.1109/9.618249Collections
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