In this paper, the connection between minimum entropy control and risk-sensitive control for linear time-varying systems is investigated. For time-invariant systems, the entropy functional and the linear exponential quadratic Gaussian cost are the same. In this paper, it is shown that this is not true for general time-varying systems. It does hold, however, when the system admits a state-space representation.
- Discrete-time systems
- Risk-sensitive control
- Time-varying systems
ASJC Scopus subject areas
- Control and Systems Engineering
- Electrical and Electronic Engineering