Linear-quadratic controls in risk-averse decision making : performance-measure statistics and control decision optimization

Cover......Page 1
Linear-Quadratic Controls in Risk-Averse Decision \rMaking......Page 4
Preface......Page 8
Contents......Page 12
1.1 Risk Assessment and Management......Page 14
1.3 Methodology......Page 15
1.4 Chapter Organization......Page 16
References......Page 18
2.1 Introduction......Page 19
2.2 The Problem......Page 20
2.3 The Value of Performance-Measure Statistics......Page 21
2.4 Statements of Mayer Problem with Performance Risk Aversion......Page 28
2.5 Risk-Averse Control of Adaptive Behavior......Page 33
2.6 Chapter Summary......Page 40
References......Page 41
3.1 Introduction......Page 43
3.2 Problem Description......Page 44
3.3 A Framework for Performance-Measure Statistics......Page 46
3.4 Statements of the Risk-Averse Control Problem......Page 50
3.5 Optimal Risk-Averse Tracking Solution......Page 54
3.6 Chapter Summary......Page 58
References......Page 59
4.1 Introduction......Page 60
4.2 The Performance Information Process......Page 61
4.3 The System Control Problem......Page 65
4.4 Statistical Optimal Control Solution......Page 70
4.5 Chapter Summary......Page 76
References......Page 77
5.1 Introduction......Page 78
5.2 Performance Information in Control with Risk Consequences......Page 79
5.3 Formulation of the Control Problem......Page 86
5.4 Existence of Risk-Averse Control Solution......Page 91
References......Page 96
6.1 Introduction......Page 97
6.2 Backward Differential Equations for Performance-MeasureStatistics......Page 98
6.3 Performance-Measure Statistics for Risk-Averse Control......Page 105
6.4 Output-Feedback Control Solution......Page 110
References......Page 114
7.1 Introduction......Page 116
7.2 The Problem and Representations for Performance Robustness......Page 117
7.3 Problem Statements with the Maximum Principle......Page 123
7.4 Low Sensitivity Control with Risk Aversion......Page 127
7.5 Chapter Summary......Page 131
References......Page 132
8.1 Introduction......Page 133
8.2 Linking Performance-Measure Statistics and Risk Perceptions......Page 134
8.3 Statements Toward the Optimal Decision Problem......Page 144
8.4 Risk-Averse Control Solution in the Closed-Loop System......Page 149
References......Page 152
9.1 The Aspect of Performance-Information Analysis......Page 153
9.3 What Will Be?......Page 154
Index......Page 156