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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