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

31 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

More information

10.1109/TAC.2010.2044275

Cite this

@article{4018e791c87746f78935afd448207ed3,

title = "Maximum principles for a class of partial information risk-sensitive optimal controls",

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.",

keywords = "Girsanov theorem, Maximum principle, Partial information, Risk-sensitive control, Spike variation",

author = "Jianhui Huang and Xun Li and Guangchen Wang",

year = "2010",

month = jun,

day = "1",

doi = "10.1109/TAC.2010.2044275",

language = "English",

volume = "55",

pages = "1438--1443",

journal = "IEEE Transactions on Automatic Control",

issn = "0018-9286",

publisher = "IEEE",

number = "6",

}

TY - JOUR

T1 - Maximum principles for a class of partial information risk-sensitive optimal controls

AU - Huang, Jianhui

AU - Li, Xun

AU - Wang, Guangchen

PY - 2010/6/1

Y1 - 2010/6/1

N2 - 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.

AB - 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.

KW - Girsanov theorem

KW - Maximum principle

KW - Partial information

KW - Risk-sensitive control

KW - Spike variation

UR - https://www.scopus.com/pages/publications/77953108041

U2 - 10.1109/TAC.2010.2044275

DO - 10.1109/TAC.2010.2044275

M3 - Journal article

SN - 0018-9286

VL - 55

SP - 1438

EP - 1443

JO - IEEE Transactions on Automatic Control

JF - IEEE Transactions on Automatic Control

IS - 6

M1 - 5422685

ER -

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

Abstract

Keywords

ASJC Scopus subject areas

More information

Other files and links

Fingerprint

Cite this