Abstract
In this paper the risk sensitive optimal control problem of discrete time partially observed systems on an infinite horizon is considered. Defining an appropriate information state we formulate an equivalent control problem with completely observed state dynamics, which is solved using dynamic games and dynamic programming methods.
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Hernández-Hernández, D. (1999). Partially Observed Control Problems with Multiplicative Cost. In: McEneaney, W.M., Yin, G.G., Zhang, Q. (eds) Stochastic Analysis, Control, Optimization and Applications. Systems & Control: Foundations & Applications. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4612-1784-8_3
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DOI: https://doi.org/10.1007/978-1-4612-1784-8_3
Publisher Name: Birkhäuser, Boston, MA
Print ISBN: 978-1-4612-7281-6
Online ISBN: 978-1-4612-1784-8
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