Risk Sensitive Path Integral Control
| Autor: | Broek, Bart van den, Wiegerinck, Wim, Kappen, Hilbert |
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| Rok vydání: | 2012 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | Recently path integral methods have been developed for stochastic optimal control for a wide class of models with non-linear dynamics in continuous space-time. Path integral methods find the control that minimizes the expected cost-to-go. In this paper we show that under the same assumptions, path integral methods generalize directly to risk sensitive stochastic optimal control. Here the method minimizes in expectation an exponentially weighted cost-to-go. Depending on the exponential weight, risk seeking or risk averse behaviour is obtained. We demonstrate the approach on risk sensitive stochastic optimal control problems beyond the linear-quadratic case, showing the intricate interaction of multi-modal control with risk sensitivity. Comment: Appears in Proceedings of the Twenty-Sixth Conference on Uncertainty in Artificial Intelligence (UAI2010) |
| Databáze: | arXiv |
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