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The role of information state and adjoint in relating nonlinear output feedback risk-sensitive control and dynamic games

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1 Author(s)
Charalambous, C.D. ; Dept. of Electr. Eng., McGill Univ., Montreal, Que., Canada

This paper employs logarithmic transformations to establish relations between continuous-time nonlinear partially observable risk-sensitive control problems and analogous output feedback dynamic games. The first logarithmic transformation is introduced to relate the stochastic information state to a deterministic information state. The second logarithmic transformation is applied to the risk-sensitive cost function using the Laplace-Varadhan lemma. In the small noise limit, this cost function is shown to be logarithmically equivalent to the cost function of an analogous dynamic game

Published in:

Automatic Control, IEEE Transactions on  (Volume:42 ,  Issue: 8 )

Date of Publication:

Aug 1997

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