Robust Designs Through Risk Sensitivity:An Overview  

作　　者：BASAR Tamer 

机构地区：[1]Coordinated Science Laboratory,University of Illinois,1308 West Main,Urbana,IL 61801,USA.

出　　处：《Journal of Systems Science & Complexity》2021年第5期1634-1665,共32页系统科学与复杂性学报（英文版）

基　　金：the Air Force Office of Scientific Research(AFOSR)under Grant No.FA9550-19-1-0353;the Army Research Office MURI under Grant No.AG285。

摘　　要：This is an overview paper on the relationship between risk-averse designs based on exponential loss functions with or without an additional unknown(adversarial)term and some classes of stochastic games.In particular,the paper discusses the equivalences between risk-averse controller and filter designs and saddle-point solutions of some corresponding risk-neutral stochastic differential games with different information structures for the players.One of the by-products of these analyses is that risk-averse controllers and filters(or estimators)for control and signal-measurement models are robust,through stochastic dissipation inequalities,to unmodeled perturbations in controlled system dynamics as well as signal and the measurement processes.The paper also discusses equivalences between risk-sensitive stochastic zero-sum differential games and some corresponding risk-neutral three-player stochastic zero-sum differential games,as well as robustness issues in stochastic nonzero-sum differential games with finite and infinite populations of players,with the latter belonging to the domain of mean-field games.

关 键 词：Mean-field games risk-sensitive control risk-sensitive filtering risk-sensitive games risk sensitivity ROBUSTNESS 

分 类 号：O211.67[理学—概率论与数理统计] O225[理学—数学]