IEEE Transactions on Automatic Control, Vol.42, No.8, 1130-1138, 1997
Partially Observable Nonlinear Risk-Sensitive Control-Problems - Dynamic-Programming and Verification Theorems
In this paper, we consider continuous-time partially observable optimal control problems with exponential-of-integral cost criteria, We derive a rigorous verification theorem when the state and control enter nonlinear in the dynamics. In addition, we show that the quadratic sensor problem is estimation-solvable with respect to a certain cost criterion, The framework relies on dynamic programming and the Hamilton-Jacobi theory.