Multiple-objective risk-sensitive control and its small noise limit

DOI10.1016/S0005-1098(02)00270-4zbMath1030.93054MaRDI QIDQ1868064

Andrew E. B. Lim, John B. Moore, Xun Yu Zhou

Publication date: 27 April 2003

Published in: Automatica (Search for Journal in Brave)

zbMATH Keywords

dynamic programmingHamilton-Jacobi-Bellman equationsrisk-sensitive controlviscosity solutionsmultiple-objective optimization differential gamestwo-player differential gamesupper/lower Isaacs equations

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) 2-person games (91A05) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items

Optimal control of perpetual CPDO: minimal cash-out probability and maximal conditional return ⋮ Indefinite risk-sensitive control ⋮ Generalised risk-sensitive control with full and partial state observation ⋮ Risk-sensitive control for a class of nonlinear systems with multiplicative noise

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotic analysis of nonlinear stochastic risk-sensitive control and differential games
• A quasi-separation theorem for LQG optimal control with IQ constraints
• Some Properties of Viscosity Solutions of Hamilton-Jacobi Equations
• Viscosity Solutions of Hamilton-Jacobi Equations
• Exit Time Problems in Optimal Control and Vanishing Viscosity Method
• Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
• Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights
• Risk-sensitive control with HARA utility
• Stochastic Control for Small Noise Intensities
• The existence of value in differential games
• \(H^ \infty\)-optimal control and related minimax design problems. A dynamic game approach.

This page was built for publication: Multiple-objective risk-sensitive control and its small noise limit