Ergodic risk-sensitive control-A survey

被引：8
作者：
Biswas, Anup [1 ]
Borkar, Vivek S. [2 ]
机构：
[1] Indian Inst Sci Educ & Res Pune, Dept Math, Dr Homi Bhabha Rd, Pune 411008, India
[2] Indian Inst Technol, Dept Elect Engn, Mumbai 400076, India
来源：
ANNUAL REVIEWS IN CONTROL | 2023年 / 55卷
关键词：
Risk-sensitive control; Bellman equation; Generalized principal eigenvalue; Multiplicative dynamic programming; Verification theorem; Markov decision process; MARKOV DECISION-PROCESSES; INFINITE-HORIZON RISK; 2ND-ORDER ELLIPTIC-OPERATORS; VANISHING DISCOUNT APPROACH; FINITE-STATE MACHINES; AVERAGE COST; DISCRETE-TIME; BELLMAN EQUATIONS; PRINCIPAL EIGENVALUE; VARIATIONAL FORMULA;
D O I：
10.1016/j.arcontrol.2023.03.001
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Risk-sensitive control has received considerable interest since the seminal work of Howard and Matheson (Howard and Matheson, 1971/72) because of its ability to account for fluctuations about the mean, its connection with ������& INFIN; control, and its application to financial mathematics. In this article we attempt to put together a comprehensive survey on the research done on ergodic risk-sensitive control over the last four decades.
引用
收藏
页码：118 / 141
页数：24
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