Entropy-minimising and risk-sensitive control rules

DOI10.1016/0167-6911(89)90014-5zbMath0684.93036OpenAlexW1994288945MaRDI QIDQ1825815

Peter Whittle

Publication date: 1989

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(89)90014-5

zbMATH Keywords

infinite-horizonHamiltonian methodsentropy-minimisingLEQG-optimality criterion

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Linear systems in control theory (93C05) Synthesis problems (93B50) Banach algebras of differentiable or analytic functions, (H^p)-spaces (46J15) Control/observation systems governed by ordinary differential equations (93C15)

Related Items (3)

A risk-sensitive maximum principle ⋮ In between the \(LQG/H_2\)- and \(H_{\infty } \)-control theories ⋮ Solutions to the \(H_{\infty}\) general distance problem which minimize an entropy integral

Cites Work

• A course in \(H_{\infty}\) control theory
• A maximum entropy principle for contractive interpolants
• State-space formulae for all stabilizing controllers that satisfy an \(H_{\infty}\)-norm bound and relations to risk sensitivity
• A hamiltonian formulation of risk-sensitive Linear/quadratic/gaussian control
• Feedback and optimal sensitivity: Model reference transformations, multiplicative seminorms, and approximate inverses
• Risk-sensitive linear/quadratic/gaussian control
• Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
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