Min-Max Characterization of a Small Noise Limit on Risk-Sensitive Control
Min-Max Characterization of a Small Noise Limit on Risk-Sensitive Control
复制标题
风险敏感控制的小噪声极限的最小-最大表征
DOI：
10.1137/s0363012995279420
复制
发表时间：
1997
影响因子：
2.2
通讯作者：
H. Nagai
中科院分区：
文献类型：
--
作者：
A. Bensoussan;H. Nagai
研究了有限时间内指数代价准则下的随机控制问题。通过取一种奇异极限，得到了一个汉密尔顿-Jacobi-Isaacs方程.它的解被刻画为一个与非线性系统鲁棒控制有关的确定性微分对策的低值函数。
Stochastic control problems on a finite horizon with exponential cost criteria are considered. By taking a kind of singular limit a Hamilton--Jacobi--Isaacs equation is obtained. Its solution is characterized as the lower value function of a deterministic differential game related to robust control of nonlinear systems.