EQUIVALENCE BETWEEN INFINITE-HORIZON OPTIMAL-CONTROL OF STOCHASTIC-SYSTEMS WITH EXPONENTIAL-OF-INTEGRAL PERFORMANCE INDEX AND STOCHASTIC DIFFERENTIAL-GAMES

被引：68
|
作者：
RUNOLFSSON, T
机构：
[1] Department of Electrical and Computer Engineering, The Johns Hopkins University, Baltimore, MD
来源：
IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1994年 / 39卷 / 08期
基金：
美国国家科学基金会;
关键词：
D O I：
10.1109/9.310029
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 new method, based on the theory of large deviations from the invariant measure, is introduced for the analysis of stochastic systems with an infinite-horizon exponential-of-integral performance index. It is shown that the infinite-horizon optimal exponential-of-integral stochastic control problem is equivalent to a stationary stochastic differential game for an auxiliary system. As an application of the developed technique, the infinite-horizon risk-sensitive LQG problem is analyzed for both the completely observed and partially observed case.
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页码：1551 / 1563
页数：13
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