Risk-Sensitive Optimal Control

by Peter Whittle

Focusing on two major themes--risk-sensitive control and path-integral or Hamiltonian formulation--it features in-depth treatment of the risk-sensitive certainty-equivalence principle, the extension of the conventional LQG (linear/quadratic/Gaussian) treatment and the path-integral formulation. Looks at the exploitation of the equivalence between policy improvement and the Newton-Raphson method to yield fast guaranteed iterative methods of canonical...

• Format: Hardcover
• Language: English
• ISBN: 0471926221
• ISBN13: 9780471926221
• Release Date: April 1990
• Publisher: Wiley
• Length: 256 Pages
• Weight: 1.05 lbs.