Hua, Haochen, Gashi, Bujar and Zhang, Moyu
(2023)
Robust risk-sensitive control.
International Journal of Robust and Nonlinear Control, 33 (10).
pp. 5484-5509.
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Abstract
<jats:title>Summary</jats:title><jats:p>We introduce a <jats:italic>risk‐sensitive</jats:italic> generalization of the mixed control problem for linear stochastic systems with additive noise. Two criteria of <jats:italic>exponential‐quadratic</jats:italic> form are used to generalise the usual quadratic criteria. The solutions are found in a linear state‐feedback form for both the finite and the infinite horizon formulations in terms of coupled Riccati differential and algebraic equations. A change of measures for both criteria and completion of squares method is used to derive the solutions, and explicit sufficient conditions for the admissibility of controls are derived. An application to the problem of <jats:italic>robust</jats:italic> portfolio control in a market with random interest rate subject to a disturbance is also given.</jats:p>
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | risk-sensitive control, robust portfolio control, stochastic mixed H-2/H-8 control |
| Divisions: | Faculty of Science and Engineering > School of Physical Sciences |
| Depositing User: | Symplectic Admin |
| Date Deposited: | 24 Feb 2023 12:31 |
| Last Modified: | 28 Feb 2024 02:30 |
| DOI: | 10.1002/rnc.6655 |
| Related URLs: | |
| URI: | https://livrepository.liverpool.ac.uk/id/eprint/3168580 |
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