Generalized Risk-Sensitive Optimal Control and Hamilton–Jacobi–Bellman Equation
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Publication:4990238
DOI10.1109/TAC.2020.3004717OpenAlexW3037622062MaRDI QIDQ4990238
Publication date: 28 May 2021
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/tac.2020.3004717
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Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations ⋮ A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach ⋮ Partially observed risk-sensitive stochastic control problems with non-convexity restriction ⋮ Robust risk‐sensitive control ⋮ Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls ⋮ A penalty function-based greedy diffusion search algorithm for the optimization of constrained nonlinear dynamical processes with discrete-valued input
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