Ergodic risk-sensitive control—A survey
نویسندگان
چکیده
Risk-sensitive control has received considerable interest since the seminal work of Howard and Matheson (Howard Matheson, 1971/72) because its ability to account for fluctuations about mean, connection with H∞ control, application financial mathematics. In this article we attempt put together a comprehensive survey on research done ergodic risk-sensitive over last four decades.
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ژورنال
عنوان ژورنال: Annual Reviews in Control
سال: 2023
ISSN: ['1872-9088', '1367-5788']
DOI: https://doi.org/10.1016/j.arcontrol.2023.03.001