Skip to main content Accessibility help
×
Home

The risk-sensitive homing problem

  • Jonathan Kuhn (a1)

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.

Copyright

Corresponding author

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

References

Hide All
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.

Keywords

The risk-sensitive homing problem

  • Jonathan Kuhn (a1)

Metrics

Full text views

Total number of HTML views: 0
Total number of PDF views: 0 *
Loading metrics...

Abstract views

Total abstract views: 0 *
Loading metrics...

* Views captured on Cambridge Core between <date>. This data will be updated every 24 hours.

Usage data cannot currently be displayed