Risk Sensitive Path Integral Control

Understand

Recently path integral methods have been developed for stochastic optimal control for a wide class of models with non-linear dynamics in continuous space-time.

• Path integral methods find the control that minimizes the expected cost-to-go.
• In this paper we show that under the same assumptions, path integral methods generalize directly to risk sensitive stochastic optimal control.
• Here the method minimizes in expectation an exponentially weighted cost-to-go.