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Risk-sensitive and Hamiltonian formulations in optimal control

  • Section I Controlled Stochastic Processes
  • Conference paper
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Stochastic Optimization

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 81))

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References

  • Jacobson, D.H. (1973). Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games. IEEE Trans. Automatic Control. AC-18: 124–131.

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  • Whittle, P. (1981). Risk-sensitive linear/quadratic/Gaussian control. Adv. Appl. Prob., 13: 764–777.

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  • Whittle, P. (1982). Optimization over time, Vol.1. Wiley Interscience.

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  • Whittle, P. (1983). Prediction and regulation by linear least square methods. (2nd edition of 1963 volume). University of Minnesota Press.

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  • Whittle, P. (1985). The risk-sensitive certainty equivalence principle. In Essays in Time Series and Allied Processes. Published by Applied Probability Trust.

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  • Whittle, P. and Kuhn, J. (1986). A Hamiltonian formulation of risk-sensitive linear/quadratic/Gaussian control. Int. J. Control. (To appear).

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Authors and Affiliations

  1. Statistical Laboratory, University of Cambridge, UK

    P. Whittle

Authors
  1. P. Whittle
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Editor information

Vadim I. Arkin A. Shiraev R. Wets

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© 1986 International Institute for Applied Systems Analysis

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Whittle, P. (1986). Risk-sensitive and Hamiltonian formulations in optimal control. In: Arkin, V.I., Shiraev, A., Wets, R. (eds) Stochastic Optimization. Lecture Notes in Control and Information Sciences, vol 81. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0007098

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  • DOI: https://doi.org/10.1007/BFb0007098

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-16659-7

  • Online ISBN: 978-3-540-39841-7

  • eBook Packages: Springer Book Archive

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