Discrete-time, Bi-cumulant minimax and Nash games

Diersing, R.W.; Sain, M.K.; Won, Chang-Hee

doi:10.1109/cdc.2007.4434700

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2008

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“…Nonlinear statistical control was investigated in [14]. More recently, the application of the statistical control concept to game theory has appeared in the literature [3]. In Section II, mathematical preliminaries needed to formulate the indefinite control weight control problem are given.…”

Section: Introductionmentioning

confidence: 99%

Second cumulant statistical control with indefinite control weight

Won

Diersing

Ahn

2008

2008 47th IEEE Conference on Decision and Control

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Abstract-In linear-quadratic-Gaussian control, the positive definiteness of the control weighting matrix in the cost function has been assumed, however, it has been shown that solutions do exist for indefinite control weight matrices for the linearquadratic-Gaussian case. Here we extend the results to other statistical control methods such as second cumulant statistical control and risk-sensitive control. In this paper, we find the optimal controller where the diffusion term in the state equation depends on the control.

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Section: Introductionmentioning

confidence: 99%