Applications of minimum principle for continuous-time partially observable risk-sensitive control problems
Date
1995Publisher
IEEESource
Proceedings of the IEEE Conference on Decision and ControlProceedings of the IEEE Conference on Decision and Control
Volume
4Pages
3420-3422Google Scholar check
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This paper employs the minimum principle derived in [1], for nonlinear partially observable exponential of integral control problems, to solve linear-exponential-quadratic-Gaussian (LEQG) tracking problems using two different approaches. This minimum principle consists of an information state equation, an adjoint equation with terminal condition, and a Hamiltonian functional. The two approaches used to solve LEQG problems are particularly attractive because they do not assume a certainty equivalence principle.
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