Abstract
The ‘homing' optimal control problem, described in Whittle and Gait (1970), is given a risk-sensitive formulation. It is shown that the reduction of an optimally controlled homing problem to the treatment of an uncontrolled process, demonstrated by Whittle and Gait, can be achieved in the risk-sensitive case. Two scalar problems are analyzed in detail.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Reference7 articles.
1. Statistics of Random Processes I
2. Whittle P. and Kuhn J. (1984) A Hamiltonian formulation of risk-sensitive linear/quadratic/Gaussian control. Int. J. Control.
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4. Risk-sensitive linear/quadratic/gaussian control
Cited by
35 articles.
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