Applications of minimum principle for continuoustime partially observable risksensitive control problems
Date
1995Publisher
IEEESource
Proceedings of the IEEE Conference on Decision and ControlProceedings of the IEEE Conference on Decision and Control
Volume
4Pages
34203422Google 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 linearexponentialquadraticGaussian (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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