An Approach to Discrete-Time Stochastic Control Problems under Partial Observation

DOI10.1137/0325003zbMath0615.93078OpenAlexW1976251060MaRDI QIDQ4724537

Wolfgang J. Runggaldier, Giovanni B. Di Masi

Publication date: 1987

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0325003

zbMATH Keywords

approximate solutionsseparation principlenonlinear filtering\(\epsilon \)- optimaldiscrete-time Markov process under partial observation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Dynamic programming in optimal control and differential games (49L20) Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55) Dynamic programming (90C39) Optimal stochastic control (93E20)

Related Items (8)

Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation ⋮ On the construction of \(\epsilon\)-optimal strategies in partially observed MDPs ⋮ Nonparametric adaptive control of discrete-time partially observable stochastic systems ⋮ Discretization procedures for adaptive Markov control processes ⋮ Discrete approximation of nonlinear filtering for stochastic delay equations ⋮ Approximations for discrete-time adaptive control: Construction of \(\varepsilon\)-optimal controls ⋮ AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS ⋮ Concepts and methods for discrete and continuous time control under uncertainty

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