Higher-moments in perturbation solution of the linear-quadratic exponential Gaussian optimal control problem
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.
linear-quadratic-exponential-Gaussian objective function
scientific article; zbMATH DE number 1930255