Applications of minimum principle for continuous-time partially observable risk-sensitive control problems
AuthorCharalambous, Charalambos D.
Hibey, Joseph L.
SourceProceedings of the IEEE Conference on Decision and Control
Proceedings of the IEEE Conference on Decision and Control
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This paper employs the minimum principle derived in , 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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