Abstract
The optimal exponential-quadratic control problem is considered for stochastic Gaussian systems with polynomial bilinear drift terms and intensity parameters multiplying diffusion terms in the state equation. The closed-form optimal control algorithm is obtained using a quadratic value function as a solution to the corresponding Hamilton-Jacobi-Bellman equation. The performance of the obtained risk-sensitive regulator for stochastic bilinear polynomial systems is verified in a numerical example, through comparing the exponentialquadratic criteria values for the optimal risk-sensitive control and bilinear control algorithms. The simulation results reveal strong advantages in favor of the designed risk-sensitive algorithm in regard to the final criteria values for all values of the parameter e.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
