Risk-Sensitive Control for Systems with Input Delays
نویسندگان
چکیده
The partially observed risk-sensitive optimal stochastic control of a system with multiple time-delays in input, which minimizes the expected value of an exponential cost criterion, is considered. The change of measure technique is used to obtain the sufficient statistics of the cost criterion given the measurement history, which is called the information state. The information state helps to convert the partially observed problem into an equivalent fully observed one. The risk-sensitive controller is obtained via a set of differential Riccati equations. The result for the finite-time time-delay system is extended to obtain the infinitetime case. Furthermore, asymptotic behaviors of both small noise and small risk limits of the problem, which correspond to deterministic game and risk-neutral stochastic problem, respectively, are analyzed. Mathematics Subject Classification: 93E20
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