Classical Risk-Averse Control for a Finite-Horizon Borel Model
Classical Risk-Averse Control for a Finite-Horizon Borel Model
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DOI：
10.1109/lcsys.2021.3114126
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发表时间：
2021-07
影响因子：
3
通讯作者：
Margaret P. Chapman;K. Smith
中科院分区：
文献类型：
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作者：
Margaret P. Chapman;K. Smith
研究了有限视界Borel模型的风险规避最优控制问题，其中累积成本通过指数效用来评估。该设置允许非线性动态，非二次代价，连续状态和控制空间，但不如优化预期效用的问题一般。我们的贡献是展示了不使用状态空间增强的最优风险规避控制器的存在性，因此与目前文献中可用的方法相比，从第一原理提供了一种更简单的解决方法。
We study a risk-averse optimal control problem for a finite-horizon Borel model, where a cumulative cost is assessed via exponential utility. The setting permits non-linear dynamics, non-quadratic costs, and continuous state and control spaces but is less general than the problem of optimizing an expected utility. Our contribution is to show the existence of an optimal risk-averse controller without using state space augmentation and therefore offer a simpler solution method from first principles compared to what is currently available in the literature.