Optimal control of partially observable piecewise deterministic Markov processes
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Abstract: In this paper we consider a control problem for a Partially Observable Piecewise Deterministic Markov Process of the following type: After the jump of the process the controller receives a noisy signal about the state and the aim is to control the process continuously in time in such a way that the expected discounted cost of the system is minimized. We solve this optimization problem by reducing it to a discrete-time Markov Decision Process. This includes the derivation of a filter for the unobservable state. Imposing sufficient continuity and compactness assumptions we are able to prove the existence of optimal policies and show that the value function satisfies a fixed point equation. A generic application is given to illustrate the results.
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Cited in
(18)- Optimal control of Markovian jump processes with partial information and applications to a parallel queueing model
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