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Optimal risk-sensitive controller for first degree stochastic polynomial systems

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4 Author(s)
Alcorta-Garcia, M.A. ; Dept. of Phys. & Math. Sci., Autonomous Univ. of Nuevo Leon, Nuevo Leon, Mexico ; Basin, M. ; Rostro, S. ; Torres, M.T.

This paper presents the optimal risk-sensitive controller problem for first degree polynomial stochastic systems with a scaling intensity parameter, multiplying the diffusion term in the state and observations equations and exponential-quadratic cost function to be minimized. The optimal risk-sensitive controller equations are obtained based on the optimal risk-sensitive filtering and control equations for first degree polynomial systems and the separation principle. In the example, the risk-sensitive controller equations are compared to the conventional linear-quadratic controller equations for first degree polynomial systems. The simulation results reveal significant advantages in the criterion values in favor of the designed risk-sensitive controller, in particular, for large values of the scaling parameter.

Published in:

Electrical Engineering, Computing Science and Automatic Control,CCE,2009 6th International Conference on

Date of Conference:

10-13 Jan. 2009