Robust intensity control with multiple levels of model uncertainty and the dual risk-sensitive problem
Robust intensity control with multiple levels of model uncertainty and the dual risk-sensitive problem
复制标题
具有多级模型不确定性和双重风险敏感问题的鲁棒强度控制
DOI：
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发表时间：
2010
期刊：
影响因子：
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通讯作者：
Thaisiri Watewai
中科院分区：
文献类型：
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作者：
Andrew E. B. Lim;J. Shanthikumar;Thaisiri Watewai
本文研究了一类随机离散事件系统的鲁棒强度控制问题。我们引入广义相对熵的概念，并通过允许模型的不同部分具有不同程度的模型不确定性，将经典的“基于熵”的方法扩展到随机鲁棒控制。我们还引入了一类新的风险敏感控制问题，其特征在于多个风险敏感性参数和奖励共享条款，并证明了它是等价的鲁棒控制问题在适当的选择下的奖励共享规则。这扩展了在同一模型中存在多个模型不确定性水平时鲁棒控制和风险敏感控制之间的众所周知的对偶性。
In this paper, we consider robust intensity control of a stochastic discrete event system. We introduce the notion of generalized relative entropy and extend the classical “entropy-based” approached to stochastic robust control by allowing for different levels of model uncertainty for different parts of the model. We also introduce a new class of risk-sensitive control problems which are characterized by multiple risk-sensitivity parameters and reward sharing terms, and show that it is equivalent to the robust control problem under an appropriate choice of reward sharing rule. This extends the well know duality between robust and risk-sensitive control the the case when there are multiple levels of model uncertainty within the same model.