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Multiple-objective Risk-Sensitive Control and its Small Noise Limit

Lim, Andrew; Zhou, Xiangting; Moore, John


This paper is concerned with a (minimizing) multiple-objective risk-sensitive control problem. Asymptotic analysis leads to the introduction of a new class of two-player, zero-sum, deterministic differential games. The distinguishing feature of this class of games is that the cost functional is multiple-objective in nature, being composed of the risk-neutral integral costs associated with the original risk-sensitive problem. More precisely, the opposing player in such a game seeks to maximize...[Show more]

CollectionsANU Research Publications
Date published: 2003
Type: Journal article
Source: Automatica
DOI: 10.1016/S0005-1098(02)00270-4


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