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|Title:||Generalised risk-sensitive control with full and partial state observation|
|Keywords:||Risk-sensitive regulator;Change of measure;Risk-sensitive filter|
|Citation:||Journal of Mathematical Modelling and Algorithms, 2014, 13 (1), pp. 87-101|
|Abstract:||This paper generalises the risk-sensitive cost functional by introducing noise dependent penalties on the state and control variables. The optimal control problems for the full and partial state observation are considered. Using a change of probability measure approach, explicit closed-form solutions are found in both cases. This has resulted in a new risk-sensitive regulator and filter, which are generalisations of the well-known classical results.|
|Appears in Collections:||Dept of Mathematics Research Papers|
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