We present an historical overview about the connections between the analysis of risk and
the control of autonomous systems. We offer two main contributions. Our first contribution is …

It has been widely recognized nowadays the importance of introducing mathematical
models that take into account possible sudden changes in the dynamical behavior of a high …

The conventional linear/quadratic/Gaussian assumptions are modified in that minimisation
of the expectation of cost G defined by (2) is replaced by minimisation of the criterion …

One of the most significant accomplishments in control theory during the 1980s and early
1990s has been the development of the theory of H∞ control and estimation. Originally …

In this paper the various policies in fixed end-time stochastic control are discussed first. The
emphasis is on the difference between the feedback and closed-loop policies. It is shown …

This paper provides an overview of results and concepts in minimax robust hypothesis
testing for two and multiple hypotheses. It starts with an introduction to the subject …

We have shown that several interesting problems in H/sup/spl infin//-filtering, quadratic
game theory, and risk sensitive control and estimation follow as special cases of the Krein …

We show that the celebrated least-mean squares (LMS) adaptive algorithm is H/sup/spl
infin//optimal. The LMS algorithm has been long regarded as an approximate solution to …

The stochastic control problem with linear stochastic differential equations driven by
Brownian motion processes and as cost functional the exponential of a quadratic form is …

This monograph demonstrates how the performance of various well-known adaptive
controllers can be improved significantly using the dual effect. The modifications to …