The relationship between minimum entropy control and risk-sensitivecontrol for time-varying systems
Peters, M.A.; Iglesias, P.A.
Automatic Control, IEEE Transactions on
Volume 44, Issue 5, May 1999 Page(s):1065 - 1069
Digital Object Identifier   10.1109/9.763230
Summary:The connection between minimum entropy control and risk-sensitive control for linear time-varying systems is investigated. For time-invariant systems, the entropy functional and the linear exponential quadratic Gaussian cost are the same. In this paper, it is shown that this is not true for general time varying systems. It does hold, however, when the system admits a state-space representation

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