Risk-sensitive control for a class of homing problems

被引：16
|
作者：
Makasu, Cloud [1 ]
机构：
[1] Univ Venda, Dept Math & Appl Math, ZA-0950 Thohoyandou, South Africa
来源：
AUTOMATICA | 2009年 / 45卷 / 10期
关键词：
Backward stochastic differential equation; First-passage time; Homing problems;
D O I：
10.1016/j.automatica.2009.06.015
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
A result of Lefebvre [Lefebvre, M. (2001). A different class of homing problems. Systems & Control Letters 42, 347-352] is here extended to a two-dimensional homing problem with a risk-sensitive cost criterion. It is shown that the optimal control is given explicitly, and moreover, the optimal value function has a simple probabilistic representation associated with a backward stochastic differential equation with a random terminal time. (C) 2009 Elsevier Ltd. All rights reserved.
引用
收藏
页码：2454 / 2455
页数：2
相关论文
共 50 条
  • [31] RISK-SENSITIVE CONTROL ON AN INFINITE TIME HORIZON
    FLEMING, WH
    MCENEANEY, WM
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1995, 33 (06) : 1881 - 1915
  • [32] SINGULAR PERTURBATIONS IN RISK-SENSITIVE STOCHASTIC CONTROL
    Borkar, V. S.
    Kumar, K. Suresh
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2010, 48 (06) : 3675 - 3697
  • [33] RISK-SENSITIVE CONTROL FOR THE PARALLEL SERVER MODEL
    Atar, Rami
    Goswami, Anindya
    Shwartz, Adam
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2013, 51 (06) : 4363 - 4386
  • [34] Risk-sensitive control of cash management systems
    Francisco Salas-Molina
    Operational Research, 2020, 20 : 1159 - 1176
  • [35] Risk-Sensitive Control with Near Monotone Cost
    Biswas, Anup
    Borkar, V. S.
    Kumar, K. Suresh
    APPLIED MATHEMATICS AND OPTIMIZATION, 2010, 62 (02): : 145 - 163
  • [36] Q-learning for risk-sensitive control
    Borkar, VS
    MATHEMATICS OF OPERATIONS RESEARCH, 2002, 27 (02) : 294 - 311
  • [37] Risk-sensitive control of cash management systems
    Salas-Molina, Francisco
    OPERATIONAL RESEARCH, 2020, 20 (02) : 1159 - 1176
  • [38] Risk-Sensitive Control with Near Monotone Cost
    Anup Biswas
    V. S. Borkar
    K. Suresh Kumar
    Applied Mathematics & Optimization, 2010, 62 : 145 - 163
  • [39] Risk-Sensitive Control of Vibratory Energy Harvesters
    Ligeikis, Connor
    Scruggs, Jeff
    2023 62ND IEEE CONFERENCE ON DECISION AND CONTROL, CDC, 2023, : 2541 - 2548
  • [40] Risk-sensitive control on an infinite time horizon
    SIAM J Control Optim, 6 (1881):
12345