Small parameter limit for ergodic, discrete-time, partially observed, risk-sensitive control problems

被引：2

作者：

Albertini, F

Pra, PD

Prior, C

机构：

[1] Univ Padua, Dipartimento Matemat, I-35100 Padua, Italy

[2] Politecn Milan, Dipartimento Matemat, I-20133 Milan, Italy

来源：

MATHEMATICS OF CONTROL SIGNALS AND SYSTEMS | 2001年 / 14卷 / 01期

关键词：

risk-sensitive control; dynamic games; large deviations;

D O I：

10.1007/PL00009875

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We show that discrete-time, partially observed, risk-sensitive control problems over an infinite time horizon converge, in the small noise limit, to deterministic dynamic games, in the sense of uniform convergence of the value function on compact subsets of its domain. We make use of new results concerning large deviations and existence of value functions.

引用

页码：1 / 28

页数：28

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