Risk Sensitive Control of Finite StateMachines on an In nite Horizon IW
نویسنده
چکیده
In this paper we consider robust and risk sensitive control of discrete time nite state systems on an in nite horizon. The solution of the state feedback robust control problem is characterized in terms of the value of an average cost dynamic game. The risk sensitive stochastic optimal control problem is solved using the policy iteration algorithm, and the optimal rate is expressed in terms of the value of a stochastic dynamic game with average cost per unit time criterion. By taking a small noise limit a deterministic dynamic game is obtained, which is closely related to the robust control problem.
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تاریخ انتشار 2007