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 language | English (US) |
|---|---|
| Pages (from-to) | 1065-1069 |
| Number of pages | 5 |
| Journal | IEEE Transactions on Automatic Control |
| Volume | 44 |
| Issue number | 5 |
| DOIs | |
| State | Published - 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