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Risk Sensitive Path Integral Control
Bart van den Broek, Wim Wiegerinck, Hilbert Kappen
Abstract:
Recently path integral methods have been developed for stochastic optimal control for a wide class of models with non-linear dynamics in continuous space-time. Path integral methods find the control that minimizes the expected cost-to-go. In this paper we show that under the same assumptions, path integral methods generalize directly to risk sensitive stochastic optimal control. Here the method minimizes in expectation an exponentially weighted cost-to-go. Depending on the exponential weight, risk seeking or risk averse behaviour is obtained. We demonstrate the approach on risk sensitive stochastic optimal control problems beyond the linear-quadratic case, showing the intricate interaction of multi-modal control with risk sensitivity.
Keywords:
Pages: 615-622
PS Link:
PDF Link: /papers/10/p615-van_den_broek.pdf
BibTex:
@INPROCEEDINGS{van den Broek10,
AUTHOR = "Bart van den Broek
and Wim Wiegerinck and Hilbert Kappen",
TITLE = "Risk Sensitive Path Integral Control",
BOOKTITLE = "Proceedings of the Twenty-Sixth Conference Annual Conference on Uncertainty in Artificial Intelligence (UAI-10)",
PUBLISHER = "AUAI Press",
ADDRESS = "Corvallis, Oregon",
YEAR = "2010",
PAGES = "615--622"
}
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