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The risk-sensitive certainty equivalence principle

Published online by Cambridge University Press:  14 July 2016

Peter Whittle
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Abstract

A risk-sensitive certainty equivalence principle is deduced, expressed in Theorem 1, for a model with linear dynamics and observation rules, Gaussian noise and an exponential-quadratic criterion of the form (2). The senses in which one is now to understand certainty equivalence and the separation principle are discussed.

Keywords

RISK-SENSITIVITYOPTIMAL CONTROL

Information

Type
Part 6—Allied Stochastic Processes
Information
Journal of Applied Probability , Volume 23 , Issue A: Essays in Time Series and Allied Processes , 1986, pp. 383 - 388
Copyright
Copyright © 1986 Applied Probability Trust 

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References

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