Robust Designs Through Risk Sensitivity: An Overview

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This is an overview paper on the relationship between risk-averse designs based on exponential loss functions with or without an additional unknown (adversarial) term and some classes of stochastic games. In particular, the paper discusses the equivalences between risk-averse controller and filter designs and saddle-point solutions of some corresponding risk-neutral stochastic differential games with different information structures for the players. One of the by-products of these analyses is that risk-averse controllers and filters (or estimators) for control and signal-measurement models are robust, through stochastic dissipation inequalities, to unmodeled perturbations in controlled system dynamics as well as signal and the measurement processes. The paper also discusses equivalences between risk-sensitive stochastic zero-sum differential games and some corresponding risk-neutral three-player stochastic zero-sum differential games, as well as robustness issues in stochastic nonzero-sum differential games with finite and infinite populations of players, with the latter belonging to the domain of mean-field games.

Original languageEnglish (US)
Pages (from-to)1634-1665
Number of pages32
JournalJournal of Systems Science and Complexity
Issue number5
StatePublished - Oct 2021


  • Mean-field games
  • risk sensitivity
  • risk-sensitive control
  • risk-sensitive filtering
  • risk-sensitive games
  • robustness

ASJC Scopus subject areas

  • Computer Science (miscellaneous)
  • Information Systems


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