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Browse Journals & Magazines > Automatic Control, IEEE Trans ...> Volume:39 Issue:8 Help

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

Page(s):
1551 - 1563
ISSN :
0018-9286
INSPEC Accession Number:
4761388
Digital Object Identifier :
10.1109/9.310029
Product Type:
Journals & Magazines
Date of Current Version :
06 August 2002
Issue Date :
Aug 1994
Sponsored by :
IEEE Control Systems Society

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