Risk-sensitive Optimal Control

Part 1 LQG theory summarized: LQG structure, certainty equivalence; the Markov case - control rules; the Markov case - state estimation; the complete dualization of past and future. Part 2 Risk sensitivity, the LEQG formulation: the risk-sensitive certainty-equivalence principle; the Markov case - future stress and control; the Markov case - past stress and estimation; the infinite horizon - limits, break-down points and policy improvement. Part 3 The path-integral (Hamiltonian) approach: path-integral methods, the formalism; the Markov case - recursions and factorizations; higher-order models - the general path-integral formalism; canonical factorization in the control context; the recoupling of past future; continuous time - the path-integral formalism; continuous time - control optimization. Part 4 Connections and variations: the relationship of the LEQG criterion to H and entropy criteria; variants.