Applications of minimum principle for continuous-time partially observable risk-sensitive control problems

This paper employs the minimum principle we derived previously (1995) 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.