We consider a class of single-input single-output stochastic nonlinear systems in strict-feedback form with a risk sensitive cost criterion and with only the output of the system being available for feedback. We design an output-feedback controller under which the closed-loop signals maintain an arbitrarily small average risk-sensitive cost. Moreover, all closed-loop signals remain bounded in probability, and under certain conditions we obtain asymptotic stability in probability
Published in:
Decision and Control, 2000. Proceedings of the 39th IEEE Conference on
(Volume:3
)
Date of Conference: 2000