Maximum principles for a class of partial information risk-sensitive optimal controls

Jianhui Huang; Xun Li; Guangchen Wang

doi:10.1109/TAC.2010.2044275

Maximum principles for a class of partial information risk-sensitive optimal controls

Jianhui Huang, Xun Li, Guangchen Wang

Research output: Journal article publication › Journal article › Academic research › peer-review

26 Citations (Scopus)

Abstract

In this technical note, we study a class of partial information risk-sensitive optimal controls. The main results are some necessary and sufficient conditions for these partial information control problems. For illustration, one example is proposed and then solved using our results.

Original language	English
Article number	5422685
Pages (from-to)	1438-1443
Number of pages	6
Journal	IEEE Transactions on Automatic Control
Volume	55
Issue number	6
DOIs	https://doi.org/10.1109/TAC.2010.2044275
Publication status	Published - 1 Jun 2010

Keywords

Girsanov theorem
Maximum principle
Partial information
Risk-sensitive control
Spike variation

ASJC Scopus subject areas

Electrical and Electronic Engineering
Control and Systems Engineering
Computer Science Applications

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10.1109/TAC.2010.2044275

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KW - Girsanov theorem

KW - Maximum principle

KW - Partial information

KW - Risk-sensitive control

KW - Spike variation

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U2 - 10.1109/TAC.2010.2044275

DO - 10.1109/TAC.2010.2044275

M3 - Journal article

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Maximum principles for a class of partial information risk-sensitive optimal controls

Abstract

Keywords

ASJC Scopus subject areas

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