Cumulant Control Systems: The Cost-Variance, Discrete-Time Case

@inproceedings{Cosenza2008CumulantCS,
  title={Cumulant Control Systems: The Cost-Variance, Discrete-Time Case},
  author={Luis Cosenza and Michael K. Sain and Ronald W. Diersing and Chang-Hee Won},
  year={2008}
}
The expected value of a random cost may be viewed either as its first moment or as its first cumulant. Recently, the Kalman control gain formulas have been generalized to finite linear combinations of cost cumulants, when the systems are described in continuous time. This paper initiates the investigation of cost cumulant control for discrete-time systems. The cost variance is minimized, subject to a cost mean constraint. A new version of Bellman’s optimal cost recursion equation is obtained… CONTINUE READING

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