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The equivalence between infinite-horizon optimal control of stochastic systems with exponential-of-integral performance index and stochastic differential games

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1 Author(s)
Runolfsson, T. ; Dept. of Electr. & Comput. Eng., Johns Hopkins Univ., Baltimore, MD, USA

A new method, based on the theory of large deviations from the invariant measure, is introduced for the analysis of stochastic systems with an infinite-horizon exponential-of-integral performance index. It is shown that the infinite-horizon optimal exponential-of-integral stochastic control problem is equivalent to a stationary stochastic differential game for an auxiliary system. As an application of the developed technique, the infinite-horizon risk-sensitive LQG problem is analyzed for both the completely observed and partially observed case

Published in:

Automatic Control, IEEE Transactions on  (Volume:39 ,  Issue: 8 )

Date of Publication:

Aug 1994

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