Risk Sensitive Path Integral Control
Risk Sensitive Path Integral Control
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风险敏感路径整体控制
DOI：
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发表时间：
2010
期刊：
影响因子：
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通讯作者：
H. Kappen
中科院分区：
文献类型：
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作者：
B. V. D. Broek;W. Wiegerinck;H. Kappen
近年来，路径积分方法已发展成为一类具有连续时空非线性动力学的随机最优控制方法。路径积分方法找到最小化预期成本的控制。本文证明了在相同的假设条件下，路径积分方法可以直接推广到风险敏感随机最优控制。在这里，该方法在期望上最小化指数加权成本。根据指数权重，得到风险寻求或风险厌恶行为。我们证明了风险敏感随机最优控制问题的方法超越了线性二次的情况，显示了多模态控制与风险敏感性的复杂相互作用。
Recently path integral methods have been developed for stochastic optimal control for a wide class of models with non-linear dynamics in continuous space-time. Path integral methods find the control that minimizes the expected cost-to-go. In this paper we show that under the same assumptions, path integral methods generalize directly to risk sensitive stochastic optimal control. Here the method minimizes in expectation an exponentially weighted cost-to-go. Depending on the exponential weight, risk seeking or risk averse behaviour is obtained. We demonstrate the approach on risk sensitive stochastic optimal control problems beyond the linear-quadratic case, showing the intricate interaction of multi-modal control with risk sensitivity.