遍历风险敏感控制——一项调查

IF 7.3 2区计算机科学 Q1 AUTOMATION & CONTROL SYSTEMS

Annual Reviews in Control Pub Date : 2023-01-01 DOI:10.1016/j.arcontrol.2023.03.001

Anup Biswas , Vivek S. Borkar

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引用次数: 5

摘要

自Howard和Matheson（Howard and Matheson，1971/72）的开创性工作以来，风险敏感控制因其能够解释平均值的波动、与H∞控制的联系以及在金融数学中的应用而引起了人们的极大兴趣。在这篇文章中，我们试图对过去四十年来对遍历风险敏感控制的研究进行全面的调查。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Ergodic risk-sensitive control—A survey

Risk-sensitive control has received considerable interest since the seminal work of Howard and Matheson (Howard and Matheson, 1971/72) because of its ability to account for fluctuations about the mean, its connection with $H_{\infty}$ control, and its application to financial mathematics. In this article we attempt to put together a comprehensive survey on the research done on ergodic risk-sensitive control over the last four decades.

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来源期刊

Annual Reviews in Control 工程技术-自动化与控制系统

CiteScore

19.00

自引率

2.10%

发文量

审稿时长

36 days

期刊介绍： The field of Control is changing very fast now with technology-driven “societal grand challenges” and with the deployment of new digital technologies. The aim of Annual Reviews in Control is to provide comprehensive and visionary views of the field of Control, by publishing the following types of review articles: Survey Article: Review papers on main methodologies or technical advances adding considerable technical value to the state of the art. Note that papers which purely rely on mechanistic searches and lack comprehensive analysis providing a clear contribution to the field will be rejected. Vision Article: Cutting-edge and emerging topics with visionary perspective on the future of the field or how it will bridge multiple disciplines, and Tutorial research Article: Fundamental guides for future studies.