Brief paper: Risk-sensitivity conditions for stochastic uncertain model validation
Automatica (Journal of IFAC)
Hypothesis-driven information fusion in adversarial, deceptive environments
Information Fusion
Singular Perturbations in Risk-Sensitive Stochastic Control
SIAM Journal on Control and Optimization
Mathematics of Operations Research
Dissipativity and risk-sensitivity in control problems
Automation and Remote Control
Saddle points of discrete Markov zero-sum game with stopping
Automatica (Journal of IFAC)
Zero-Sum Risk-Sensitive Stochastic Differential Games
Mathematics of Operations Research
Probabilistic planning for continuous dynamic systems under bounded risk
Journal of Artificial Intelligence Research
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Stochastic control problems on an infinite time horizon with exponential cost criteria are considered. The Donsker--Varadhan large deviation rate is used as a criterion to be optimized. The optimum rate is characterized as the value of an associated stochastic differential game, with an ergodic (expected average cost per unit time) cost criterion. If we take a small-noise limit, a deterministic differential game with average cost per unit time cost criterion is obtained. This differential game is related to robust control of nonlinear systems.