This paper proposes a risk sensitive control law acting over an infinite time horizon, which
has the ability to control linear systems with stochastic parameters. In the authors' previous
work, a finite time horizon risk sensitive linear (FTH-RSL) control law was derived. This
method gives an exact solution that is designed as a linear feedback control in an
unbounded state region. However, the FTH-RSL control law considers finite time and thus
does not guarantee the stability. To solve this problem, this paper extends FTH-RSL control …

In this paper, we propose a new risk sensitive (RS) control law of finite time for linear
systems with stochastic system parameters. Stochastic parameters entail a nonlinear RS
controller that is not compatible with linear systems, and can be thus unreliable. Moreover, it
is difficult to obtain a globally defined exact solution due to the nonlinearity. To solve these
problems, we derive a novel problem setting based on standard RS control. The standard
RS type cost function is converted to a weighted sum of quadratic functions such that …