Stochastic Control with Partial Observations on an Infinite Horizon
Book Chapter
(2021)
Author(s)
J.H. van Schuppen (TU Delft - Mathematical Physics)
Research Group
Mathematical Physics
DOI related publication
https://doi.org/10.1007/978-3-030-66952-2_15
To reference this document use:
https://resolver.tudelft.nl/uuid:5f4cea86-814b-4773-b96c-b0051db1294b
More Info
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Publication Year
2021
Language
English
Research Group
Mathematical Physics
Pages (from-to)
599-616
ISBN (electronic)
978-3-030-66952-2
Abstract
Optimal stochastic control problems are considered for a time-invariant stochastic control system with partial observations on an infinite horizon. Such problems can be solved by a dynamic programming method for partial observations. Both the average cost and the discounted cost functions are considered. Treated as special cases are optimal control problems for a Gaussian stochastic control system and for a finite stochastic control system.
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