Robust Properties of Risk-Sensitive Control
Robust Properties of Risk-Sensitive Control
复制标题
风险敏感控制的稳健特性
DOI：
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发表时间：
1998
期刊：
影响因子：
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通讯作者：
I. Petersen
中科院分区：
文献类型：
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作者：
P. Dupuis;M. James;I. Petersen
抽象的。本文的目的是精确地表征和证明风险敏感控制器的鲁棒性。特别是，我们建立了小增益定理的随机版本。该定理用不等式表示，该不等式将平均输出功率限制为输入功率。由于这种不等式与风险敏感准则密切相关，因此我们的随机小收益定理可以用风险敏感准则来表达。这为使用风险敏感标准随机稳健性提供了具体的动机。
Abstract. The purpose of this paper is to characterize and prove robustness properties of risk-sensitive controllers precisely. In particular, we establish a stochastic version of the small gain theorem. This theorem is expressed in terms of an inequality which bounds the average output power in terms of the input power. Since this inequality is closely related to the risk-sensitive criterion, our stochastic small gain theorem can be expressed in terms of the risk-sensitive criterion. This provides a concrete motivation for the use of the risk-sensitive criterion stochastic robustness.