Abstract
For a class of risk-sensitive nonlinear stochastic control problems with dynamics in strict-feedback form, we obtain through a constructive derivation state-feedback controllers which (i) are locally optimal, (ii) are globally inverse optimal, and (iii) lead to closed-loop system trajectories that are bounded in probability. The first feature implies that a linearized version of these controllers solve a LEQG problem, and the second feature says that there exists an appropriate cost function according to which these controllers are optimal.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 115-120 |
| Number of pages | 6 |
| Journal | Proceedings of the IEEE Conference on Decision and Control |
| Volume | 1 |
| State | Published - 1999 |
| Event | The 38th IEEE Conference on Decision and Control (CDC) - Phoenix, AZ, USA Duration: Dec 7 1999 → Dec 10 1999 |
ASJC Scopus subject areas
- Control and Optimization
- Control and Systems Engineering
- Modeling and Simulation