The relationship between minimum entropy control and risk-sensitive control for time-varying systems

Marc A. Peters, Pablo A. Iglesias

Research output: Contribution to journalArticlepeer-review

Abstract

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.

Original languageEnglish (US)
Pages (from-to)1065-1069
Number of pages5
JournalIEEE Transactions on Automatic Control
Volume44
Issue number5
DOIs
StatePublished - 1999

Keywords

  • Discrete-time systems
  • Entropy
  • Risk-sensitive control
  • Time-varying systems

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Computer Science Applications
  • Electrical and Electronic Engineering

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