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Risk-sensitive control

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1993

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This talk is devoted to the study of the connections among risk-sensitive stochastic optimal control, dynamic game optimal control, risk-neutral stochastic optimal control and deterministic optimal control in a nonlinear, discrete-time context with complete state information. The analysis worked out sheds light on the profound links among these control strategies, which remain hidden in the linear context. In particular, risk-sensitive control combines features of both stochastic risk-neutral (H2) control and deterministic dynamic game (HINF) control.

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https://dspace-test.anu.edu.au/handle/1885/733730016

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DevOps Pure Testing

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Conference contribution

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