Higher-moments in perturbation solution of the linear-quadratic exponential Gaussian optimal control problem (Q1812109)
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scientific article; zbMATH DE number 1930255
| Language | Label | Description | Also known as |
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| English | Higher-moments in perturbation solution of the linear-quadratic exponential Gaussian optimal control problem |
scientific article; zbMATH DE number 1930255 |
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Higher-moments in perturbation solution of the linear-quadratic exponential Gaussian optimal control problem (English)
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18 June 2003
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For a discrete-time linear stochastic control system with a risk-avoiding linear-quadratic-expo\-nen\-tial-Gaussian objective function, a perturbation method is derived for computing the 4th-order Taylor-series approximation of the objective function of this (LQEG) optimal control problem. The results can be extended to derive equations for computing a 4th-order approximation of the infinite-horizon LQEG objective function. A numerical example is given.
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risk sensitive optimal control
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linear-quadratic-exponential-Gaussian objective function
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4th-order Taylor-series approximation
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