Risk-Averse Designs: From Exponential Cost to Stochastic Games
We discuss the relationship between risk-averse designs based on exponential cost functions and a class of stochastic games, which yields a robustness interpretation for risk-averse decision rules through a stochastic dissipation inequality. In particular, we prove the equivalence between risk-averse linear filter designs and saddle-point solutions of a particular stochastic differential game with asymmetric information for the players. A byproduct of this study is that risk-averse filters for linear signal-measurement models are robust (through a stochastic dissipation inequality) to unmodeled perturbations in both the signal and the measurement processes.
KeywordsDifferential Game Stochastic Game Namic Game Stochastic Differential Game Risk Sensitive Control
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