Partially observed risk-sensitive control of path-dependent discrete-time systems
Monday, May 7, 2018 - 3:30pm - 4:00pm
Hidehiro Kaise (Osaka University)
We consider partially observable discrete-time risk-sensitive control problems with path-dependent dynamics and costs. Using information state processes on past state trajectories, we reduce the problem to a completely observable stochastic control on time-varying infinite-dimensional state spaces. By the method of dynamic programming for time-varying infinite-dimensional spaces, we construct an optimal control of feedback type on information states . We will also discuss a small noise limit of the risk-sensitive control of the path-dependent system and derive a zero-sum game related to an $H^\infty$-control. This is a joint work with S. Tomiyama.