Robust risk‐sensitive control

Abstract

Summary We introduce a risk‐sensitive generalization of the mixed H2false/H∞$$ {H}_2/{H}_{\infty } $$ control problem for linear stochastic systems with additive noise. Two criteria of exponential‐quadratic 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 robust portfolio control in a market with random interest rate subject to a disturbance is also given.

Electricity Price Forecasting Combined with Wavelet Packet Decomposition and a Hybrid Deep Neural Network in Spot Market

“…In addition, since energy technology advances continuously, a sizable number of renewable energy sources participated in the electricity market, which may effortlessly lead to variations in the price of electricity and the security of the power system. In order to achieve steady operation of the electricity market, reliable spot market price forecasting can assist market participants in formulating trading strategies and risk management 3,4 .…”