Classical Risk-Averse Control for a Finite-Horizon Borel Model

被引：6
作者：
Chapman, Margaret P. [1 ]
Smith, Kevin M. [2 ]
机构：
[1] Univ Toronto, Edward S Rogers Sr Dept Elect & Comp Engn, Toronto, ON M5S 3G8, Canada
[2] Tufts Univ, Dept Civil & Environm Engn, Medford, MA 02155 USA
来源：
IEEE CONTROL SYSTEMS LETTERS | 2022年 / 6卷
基金：
美国国家科学基金会;
关键词：
Costs; Aerospace electronics; Trajectory; Extraterrestrial measurements; Random variables; Optimization; Optimal control; Stochastic optimal control; exponential utility; Markov processes; TIME MARKOV-PROCESSES; SENSITIVE CONTROL; DISCRETE-TIME;
D O I：
10.1109/LCSYS.2021.3114126
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We study a risk-averse optimal control problem for a finite-horizon Borel model, where a cumulative cost is assessed via exponential utility. The setting permits non-linear dynamics, non-quadratic costs, and continuous state and control spaces but is less general than the problem of optimizing an expected utility. Our contribution is to show the existence of an optimal risk-averse controller without using state space augmentation and therefore offer a simpler solution method from first principles compared to what is currently available in the literature.
引用
收藏
页码：1525 / 1530
页数：6
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