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The risk-sensitive homing problem

  • Jonathan Kuhn (a1)


The ‘homing' optimal control problem, described in Whittle and Gait (1970), is given a risk-sensitive formulation. It is shown that the reduction of an optimally controlled homing problem to the treatment of an uncontrolled process, demonstrated by Whittle and Gait, can be achieved in the risk-sensitive case. Two scalar problems are analyzed in detail.


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Postal address: Statistical Laboratory, 16 Mill Lane, Cambridge CB2 1SB, UK.


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Bertsekas, D. P. (1976) Dynamic Programming and Stochastic Control. Academic Press, New York.
Cox, D. R. and Miller, H. D. (1965) The Theory of Stochastic Processes. Methuen, London.
Liptser, R. S. and Shiryayev, A. N. (1977) Statistics of Random Processes I: General Theory. Springer-Verlag, New York.
Whittle, P. (1981) Risk-sensitive linear/quadratic/Gaussian control. Adv. Appl. Prob. 13, 764777.
Whittle, P. (1982) Optimization Over Time , Volume 1. Wiley, Chichester.
Whittle, P. and Gait, P. (1970) Reduction of a class of stochastic control problems. J. Inst. Math. Appl. 6, 131140.
Whittle, P. and Kuhn, J. (1984) A Hamiltonian formulation of risk-sensitive linear/quadratic/Gaussian control. Int. J. Control.


The risk-sensitive homing problem

  • Jonathan Kuhn (a1)


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