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Abstract: The optimal control of the partially observable stochastic system at the risk-sensitive cost is considered in thispaper. The system dynamics has a general correlation between system and measurement noise. And the risk-sensitive costcontains a general quadratic term (with cross terms and extra linear terms). The explicit solution of such a problem ispresented here using the output feedback control method. This clean and direct derivation enables one to convert suchpartial observable problems into the equivalent complete observable control problems and use the routine ways to solvethem.
Abstract: The optimal control of the partially observable stochastic system at the risk-sensitive cost is considered in this paper. The system dynamics has a general correlation between system and measurement noise. And the risk-sensitive costcontains a general quadratic term (with cross terms and extra linear terms). The explicit solution of such a problem ispresented here using the output feedback control method. This clean solution is described in the use of output feedback control method.