Abstract
We discuss the relationship between risk-averse designs based on exponential cost functions and a class of stochastic games, which yields a robustness interpretation for risk-averse decision rules through a stochastic dissipation inequality. In particular, we prove the equivalence between risk-averse linear filter designs and saddle-point solutions of a particular stochastic differential game with asymmetric information for the players. A byproduct of this study is that risk-averse filters for linear signal-measurement models are robust (through a stochastic dissipation inequality) to unmodeled perturbations in both the signal and the measurement processes.
Research supported in part by the Department of Energy Grant DEFG-02-97-FR-13939, and in part by NSF Grant ECS 93-12807.
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Başar, T. (2000). Risk-Averse Designs: From Exponential Cost to Stochastic Games. In: Djaferis, T.E., Schick, I.C. (eds) System Theory. The Springer International Series in Engineering and Computer Science, vol 518. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-5223-9_10
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DOI: https://doi.org/10.1007/978-1-4615-5223-9_10
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