论文信息 - The risk-sensitive certainty equivalence principle

The risk-sensitive certainty equivalence principle

A risk-sensitive certainty equivalence principle is deduced, expressed in Theorem 1, for a model with linear dynamics and observation rules, Gaussian noise and an exponential-quadratic criterion of the form (2). The senses in which one is now to understand certainty equivalence and the separation principle are discussed.

P. Whittle

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