Cart (Loading....) | Create Account
Close category search window
 

A risk sensitive performance index for control problems with a view to Markov jump systems

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$31 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

1 Author(s)
Baczynski, J. ; Syst. & Control Dept., Nat. Lab. for Sci. Comput. - LNCC/MCT, Rio de Janeiro, Brazil

A new concept of risk sensitivity is given which unveils a wide class of functions not detected as risk sensitive in the classical scenario. Benefiting from the broadening of this class beyond the classical real-valued convex format, the concept allows, for instance, to further inroads concerning risk sensitive optimal control problems - as did Jacobson (1973) for the so-called LEQG control problem ([12], [15]). Of particular interest are those control problems associated to linear systems with Markov jump parameters ([2],[3],[7]). Focusing the niche of the standard risk sensitive functions, we study - via a risk measure criteria - the connections between the two concepts. It turns out that both have a same risk measure whenever the original cost r.v. of interest is additive - which is the case of ([12]). Due to its richer structure, the correspondence between the cost r.v. of original interest and its risk sensitive version, as presented herein, typically does not exist as a function. Nonetheless, in a probabilistic sense, a characterization by means of a family of convex functions is made, which parallels the risk sensitive standard case.

Published in:

Decision and Control (CDC), 2012 IEEE 51st Annual Conference on

Date of Conference:

10-13 Dec. 2012

Need Help?


IEEE Advancing Technology for Humanity About IEEE Xplore | Contact | Help | Terms of Use | Nondiscrimination Policy | Site Map | Privacy & Opting Out of Cookies

A not-for-profit organization, IEEE is the world's largest professional association for the advancement of technology.
© Copyright 2014 IEEE - All rights reserved. Use of this web site signifies your agreement to the terms and conditions.