Higher-moments in perturbation solution of the linear-quadratic exponential Gaussian optimal control problem
type: Item
instance of: scholarly article
title: Higher-moments in perturbation solution of the linear-quadratic exponential Gaussian optimal control problem
zbMATH Open document ID: 1033.93067
DOI: 10.1023/A:1022270430175
author: Baoline Chen
author: Peter A. Zadrozny
published in: Computational Economics
publication date: 2003-06-18T00:00:00Z
review text: 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.
reviewed by: Kurt Marti
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 1930255
zbMATH Keywords: risk sensitive optimal control
zbMATH Keywords: linear-quadratic-exponential-Gaussian objective function
zbMATH Keywords: 4th-order Taylor-series approximation
MaRDI profile type: Publication
full work available at URL: a:1022270430175
OpenAlex ID: W4248671505
description: scientific article; zbMATH DE number 1930255