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The risk-sensitive homing problem

Published online by Cambridge University Press:  14 July 2016

Jonathan Kuhn*
Affiliation:
University of Cambridge
*
Postal address: Statistical Laboratory, 16 Mill Lane, Cambridge CB2 1SB, UK.

Abstract

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.

Type
Research Papers
Copyright
Copyright © Applied Probability Trust 1985 

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References

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