Risk-sensitive linear/quadratic/gaussian control

Abstract

The conventional linear/quadratic/Gaussian assumptions are modified in that minimisation of the expectation of cost G defined by (2) is replaced by minimisation of the criterion function (5). The scalar –θ is a measure of risk-aversion. It is shown that modified versions of certainty equivalence and the separation theorem still hold, that optimal control is still linear Markov, and state estimate generated by a version of the Kalman filter. There are also various new features, remarked upon in Sections 5 and 7. The paper generalises earlier work of Jacobson.