Partially Observed Non-linear Risk-sensitive Optimal Stopping Control for Non-linear Discrete-time Systems
Ford, Jason J. (2006) Partially Observed Non-linear Risk-sensitive Optimal Stopping Control for Non-linear Discrete-time Systems. System and Control Letters, 55(9), pp. 770-776.
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Abstract
In this paper we introduce and solve the partially observed optimal stopping
non-linear risk-sensitive stochastic control problem for discrete-time non-linear
systems. The presented results are closely related to
previous results for finite
horizon partially observed risk-sensitive stochastic control problem. An
information state approach is used and a new (three-way) separation principle established
that leads to a forward dynamic programming equation and a backward
dynamic programming inequality equation (both infinite dimensional).
A verification theorem is
given that establishes the optimal control and optimal stopping time.
The risk-neutral optimal
stopping stochastic control problem is also discussed.
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| ID Code: | 5348 |
|---|---|
| Item Type: | Journal Article |
| Keywords: | Optimal control, Partially observed, Optimal stopping, Trajectory planning, Guidance, Seperation principle, Dynamic Programming, Non, linear, Risk, sensitive, Information state |
| DOI: | 10.1016/j.sysconle.2006.03.005 |
| ISSN: | 0167-6911 |
| Subjects: | Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > APPLIED MATHEMATICS (010200) > Calculus of Variations Systems Theory and Control Theory (010203) Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > APPLIED MATHEMATICS (010200) > Calculus of Variations Systems Theory and Control Theory (010203) |
| Divisions: | Past > QUT Faculties & Divisions > Faculty of Built Environment and Engineering |
| Copyright Owner: | Copyright 2006 Elsevier |
| Copyright Statement: | Reproduced in accordance with the copyright policy of the publisher. |
| Deposited On: | 27 Oct 2006 |
| Last Modified: | 29 Feb 2012 23:20 |
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