Minimax control of a stochastic system with the loss fun ction dependent on parameter of distrubances
作者:
KRZYSZTOF Szajowski,
STANISLAW Trubula,
期刊:
Statistics
(Taylor Available online 1987)
卷期:
Volume 18,
issue 1
页码: 151-165
ISSN:0233-1888
年代: 1987
DOI:10.1080/02331888708802005
出版商: Akademie-Verlag
关键词: 93E20;62C20;Bayes control;minimax control;exponential families;linear stochastic systems
数据来源: Taylor
摘要:
A discrete time linear stochastic system with random horizon of control is considered. Disturbances in the system have distribution belonging to an exponential family with a parameter. The loss function depends on state variables, controls and it is given by (3). A horizon of control is a random variable independent of disturbances with given distribution. For a conjugate a priori distribution of the parameter the BAYES control is obtained. Next, a problem of determining the minimax control of the system is considered.
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