Classical Risk-Averse Control for a Finite-Horizon Borel Model

Autor:	Chapman, Margaret P., Smith, Kevin M.
Rok vydání:	2021
Předmět:	Electrical Engineering and Systems Science - Systems and Control
Zdroj:	IEEE Control Systems Letters, vol. 6, pp. 1525-1530, 2021
Druh dokumentu:	Working Paper
Popis:	We study a risk-averse optimal control problem for a finite-horizon Borel model, where a cumulative cost is assessed via exponential utility. The setting permits non-linear dynamics, non-quadratic costs, and continuous state and control spaces but is less general than the problem of optimizing an expected utility. Our contribution is to show the existence of an optimal risk-averse controller without using state space augmentation and therefore offer a simpler solution method from first principles compared to what is currently available in the literature. Comment: This version of the article makes almost-everywhere notions explicit (Lemma 1, Theorem 2)
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2107.13981 Zobrazit plný text záznamu View this record from Arxiv