Classical Risk-Averse Control for a Finite-Horizon Borel Model

نویسندگان

چکیده

We study a risk-averse optimal control problem for finite-horizon Borel model, where cumulative cost is assessed via exponential utility. The setting permits non-linear dynamics, non-quadratic costs, and continuous state spaces but less general than the of optimizing an expected Our contribution to show existence controller without using space augmentation therefore offer simpler solution method from first principles compared what currently available in literature.

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ژورنال

عنوان ژورنال: IEEE Control Systems Letters

سال: 2022

ISSN: ['2475-1456']

DOI: https://doi.org/10.1109/lcsys.2021.3114126