Locally Optimal Risk-Sensitive Controllers for Strict-Feedback Nonlinear Systems1,2

T. BaŞar and C. Tang
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T. BaŞar: University of Illinois
C. Tang: University of Illinois

Journal of Optimization Theory and Applications, 2000, vol. 105, issue 3, No 4, 541 pages

Abstract: Abstract For a class of risk-sensitive nonlinear stochastic control problems with dynamics in strict-feedback form, we obtain through a constructive derivation state-feedback controllers which (i) are locally optimal, (ii) are globally inverse optimal, and (iii) lead to closed-loop system trajectories that are bounded in probability. The first feature implies that a linearized version of these controllers solve a linear exponential-quadratic Gaussian (LEQG) problem, and the second feature says that there exists an appropriate cost function according to which these controllers are optimal.

Keywords: risk-sensitive stochastic control; nonlinear systems; strict feedback systems; local optimality (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1023/A:1004684905658

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