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Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems

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3 Author(s)
James, M.R. ; Dept. of Syst. Eng., Australian Nat. Univ., Canberra, ACT, Australia ; Baras, J.S. ; Elliott, R.J.

Solves a finite-horizon partially observed risk-sensitive stochastic optimal control problem for discrete-time nonlinear systems and obtains small noise and small risk limits. The small noise limit is interpreted as a deterministic partially observed dynamic game, and new insights into the optimal solution of such game problems are obtained. Both the risk-sensitive stochastic control problem and the deterministic dynamic game problem are solved using information states, dynamic programming, and associated separated policies. A certainty equivalence principle is also discussed. The authors' results have implications for the nonlinear robust stabilization problem. The small risk limit is a standard partially observed risk-neutral stochastic optimal control problem

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Automatic Control, IEEE Transactions on  (Volume:39 ,  Issue: 4 )