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math.OC2025
Exploratory Randomization for Discrete-Time Linear Exponential Quadratic Gaussian (LEQG) Problem
Sebastien Lleo, Wolfgang Runggaldier
We investigate exploratory randomization for an extended linear-exponential-quadratic-Gaussian (LEQG) control problem in discrete time. This extended control problem is related to…
math.OC2023★ 2 cited
On the Separation of Estimation and Control in Risk-Sensitive Investment Problems under Incomplete Observation
Sébastien Lleo, Wolfgang J. Runggaldier
A typical approach to tackle stochastic control problems with partial observation is to separate the control and estimation tasks. However, it is well known that this separation ge…