Risk sensitive control with ergodic cost criteria

@inproceedings{citeulike:2735820, abstract = {Stochastic control problems on an infinite time horizon with exponential cost criteria are considered. The Donsker-Varadhan large deviation rate (1975, 1976) is used as a criterion to be optimized. The optimum rate is characterized as the value of an associated stochastic differential game, with an ergodic (expected average cost per unit time) cost criterion. By taking a small-noise limit a deterministic differential game with an average cost per unit time cost criterion is obtained. This differential game is related to robust control of nonlinear systems}, author = {Fleming, W. H. and Mceneaney, W. M. }, booktitle = {Decision and Control, 1992., Proceedings of the 31st IEEE Conference on}, citeulike-article-id = {2735820}, journal = {Decision and Control, 1992., Proceedings of the 31st IEEE Conference on}, keywords = {control-risk-sensitive}, pages = {2048--2052 vol.2}, posted-at = {2008-04-30 02:07:16}, priority = {2}, title = {Risk sensitive control with ergodic cost criteria}, url = {http://ieeexplore.ieee.org/xpls/abs\_all.jsp?arnumber=371436}, year = {1992} }

TY - CONF ID - citeulike:2735820 L3 - citeulike-article-id:2735820 TI - Risk sensitive control with ergodic cost criteria T2 - Decision and Control, 1992., Proceedings of the 31st IEEE Conference on JF - Decision and Control, 1992., Proceedings of the 31st IEEE Conference on SP - 2048 EP - 2052 vol.2 N2 - Stochastic control problems on an infinite time horizon with exponential cost criteria are considered. The Donsker-Varadhan large deviation rate (1975, 1976) is used as a criterion to be optimized. The optimum rate is characterized as the value of an associated stochastic differential game, with an ergodic (expected average cost per unit time) cost criterion. By taking a small-noise limit a deterministic differential game with an average cost per unit time cost criterion is obtained. This differential game is related to robust control of nonlinear systems KW - control-risk-sensitive AU - Fleming, WH AU - Mceneaney, WM PY - 1992/// UR - http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumber=371436 ER -