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Article Dans Une Revue Annales de l'ISUP Année : 1998

On The Inverse Of The LQG Homing Problem

Résumé

The inverse of the problem of minimizing (or maximizing) the time spent by a diffusion process in a given region is considered. A proposition that shows how the Laplace transform of the probability density function of a first hitting time can be used to obtain the optimal control in a related LQG homing problem is proved. The cost criterion takes the risk-sensitivity of the optimizer into account. An example in two dimensions is presented.
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Dates et versions

hal-03658832 , version 1 (04-05-2022)

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  • HAL Id : hal-03658832 , version 1

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Mario Lefebvre. On The Inverse Of The LQG Homing Problem. Annales de l'ISUP, 1998, XXXXII (1), pp.39-49. ⟨hal-03658832⟩

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