Paper Info
Title
Robust Designs Through Risk Sensitivity: An Overview
Abstract
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.
Year
DOI
Venue
2021
10.1007/s11424-021-1242-6
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
Keywords
DocType
Volume
Mean-field games, risk-sensitive control, risk-sensitive filtering, risk-sensitive games, risk sensitivity, robustness
Journal
34
Issue
ISSN
Citations 
5
1009-6124
0
PageRank 
References 
Authors
0.34
0
1
Name
Order
Citations
PageRank
Tamer Basar13497402.11