Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation
From MaRDI portal
Abstract: We consider a class of stochastic optimal control problems with partial observation, and study their approximation by discrete-time control problems. We establish a convergence result by using weak convergence technique of Kushner and Dupuis [Numerical Methods for Stochastic Control Problems in Continuous Time (2001), Springer-Verlag, New York], together with the notion of relaxed control rule introduced by El Karoui, Huu Nguyen and Jeanblanc-Picqu'e [SIAM J. Control Optim., 26 (1988) 1025-1061]. In particular, with a well chosen discrete-time control system, we obtain a first implementable numerical algorithm (with convergence) for the partially observed control problem. Moreover, our discrete-time approximation result would open the door to study convergence of more general numerical approximation methods, such as machine learning based methods. Finally, we illustrate our convergence result by the numerical experiments on a partially observed control problem in a linear quadratic setting.
Recommendations
- An Approach to Discrete-Time Stochastic Control Problems under Partial Observation
- scientific article; zbMATH DE number 3845484
- An approximation method for stochastic control problems with partial observation of the state - a method for constructing \(\in\)-optimal controls
- scientific article; zbMATH DE number 3963708
- Discrete-time mean-field stochastic control with partial observations
Cites work
- scientific article; zbMATH DE number 1577097 (Why is no real title available?)
- scientific article; zbMATH DE number 3849107 (Why is no real title available?)
- scientific article; zbMATH DE number 3664138 (Why is no real title available?)
- scientific article; zbMATH DE number 15045 (Why is no real title available?)
- scientific article; zbMATH DE number 49106 (Why is no real title available?)
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- scientific article; zbMATH DE number 3573705 (Why is no real title available?)
- An approximation method for stochastic control problems with partial observation of the state - a method for constructing \(\in\)-optimal controls
- An efficient numerical algorithm for solving data driven feedback control problems
- Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
- Compactification methods in the control of degenerate diffusions: existence of an optimal control
- Discrete-time probabilistic approximation of path-dependent stochastic control problems
- Duality and approximation of stochastic optimal control problems under expectation constraints
- Existence of an Optimal Markovian Filter for the Control under Partial Observations
- General necessary conditions for partially observed optimal stochastic controls
- Hamilton-Jacobi-Bellman equations for the optimal control of the Duncan-Mortensen-Zakai equation
- On the Existence of Optimal Controls
- Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
- Solving high-dimensional partial differential equations using deep learning
- The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
Cited in
(7)- Robust market convergence: from discrete to continuous time
- Assimilating partial observation to enhance feedback control of stochastic dynamical systems
- Discrete-time stochastic LQ optimal control problem with random coefficients
- Discrete-time mean-field stochastic control with partial observations
- Discrete-time approximate stochastic maximum principle
- Path integral control of partially observed systems via fully observable control approximations
- A branching particle system approximation for solving partially observed stochastic optimal control problems via stochastic maximum principle
This page was built for publication: Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6148450)
