The optimal control for the output feedback stochastic system at the risk-sensitive cost

The optimal control of the partially observable stochastic system at the risk-sensitive cost is considered in this paper. The system dynamics has a general correlation between system and measurement noise. And the risk-sensitive cost contains a general quadratic term (with cross terms and extra linear terms). The explicit solution of such a problem is presented here using the output feedback control method. This dean and direct derivation enables one to convert such partial observable problems into the equivalent complete observable control problems and use the routine ways to solve them.