scholarly journals Risk-sensitive optimal control of queues

2017 ◽  
Author(s):  
Rahul Singh ◽  
Xueying Guo ◽  
Eytan Modiano
Keyword(s):  
Optimal Control ◽  
Control Of Queues ◽  
Risk Sensitive

scholarly journals An optimal control of a risk-sensitive problem for backward doubly stochastic differential equations with applications

2020 ◽  
Vol 28 (1) ◽  
pp. 1-18
Author(s):  
Dahbia Hafayed ◽  
Adel Chala
Keyword(s):  
Differential Equation ◽  
Optimal Control ◽  
Maximum Principle ◽  
Differential Equations ◽  
Stochastic Differential Equation ◽  
Control Problem ◽  
Stochastic Differential Equations ◽  
Doubly Stochastic ◽  
Risk Sensitive ◽  
Performance Functional

AbstractIn this paper, we are concerned with an optimal control problem where the system is driven by a backward doubly stochastic differential equation with risk-sensitive performance functional. We generalized the result of Chala [A. Chala, Pontryagin’s risk-sensitive stochastic maximum principle for backward stochastic differential equations with application, Bull. Braz. Math. Soc. (N. S.) 48 2017, 3, 399–411] to a backward doubly stochastic differential equation by using the same contribution of Djehiche, Tembine and Tempone in [B. Djehiche, H. Tembine and R. Tempone, A stochastic maximum principle for risk-sensitive mean-field type control, IEEE Trans. Automat. Control 60 2015, 10, 2640–2649]. We use the risk-neutral model for which an optimal solution exists as a preliminary step. This is an extension of an initial control system in this type of problem, where an admissible controls set is convex. We establish necessary as well as sufficient optimality conditions for the risk-sensitive performance functional control problem. We illustrate the paper by giving two different examples for a linear quadratic system, and a numerical application as second example.

Risk-sensitive linear/quadratic/gaussian control

1981 ◽  
Vol 13 (4) ◽  
pp. 764-777 ◽  
Author(s):  
P. Whittle
Keyword(s):  
Optimal Control ◽  
Kalman Filter ◽  
Risk Aversion ◽  
Separation Theorem ◽  
Linear Quadratic ◽  
Criterion Function ◽  
Linear Quadratic Gaussian ◽  
State Estimate ◽  
Certainty Equivalence ◽  
Risk Sensitive

The conventional linear/quadratic/Gaussian assumptions are modified in that minimisation of the expectation of cost G defined by (2) is replaced by minimisation of the criterion function (5). The scalar –θ is a measure of risk-aversion. It is shown that modified versions of certainty equivalence and the separation theorem still hold, that optimal control is still linear Markov, and state estimate generated by a version of the Kalman filter. There are also various new features, remarked upon in Sections 5 and 7. The paper generalises earlier work of Jacobson.

scholarly journals Risk sensitive optimal control framework applied to delay tolerant networks

2011 ◽  
Author(s):  
Eitan Altman ◽  
Veeraruna Kavitha ◽  
Francesco De Pellegrini ◽  
Vijay Kamble ◽  
Vivek Borkar
Keyword(s):  
Optimal Control ◽  
Delay Tolerant Networks ◽  
Risk Sensitive ◽  
Control Framework ◽  
Delay Tolerant
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