A separation principle for partially observed control of singular stochastic processes

DOI10.1016/J.NA.2005.02.051MaRDI QIDQ1000011zbMATH OpenOpenAlexFDO

Authors Richard H. Stockbridge

Publication date 4 February 2009

Published in Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.na.2005.02.051

zbMATH Keywords

singular stochastic controllinear programming separationprinciplelong-term average criterionpartially observed stochastic control

Mathematics Subject Classification ID

Linear programming (90C05) Optimal stochastic control (93E20) Stochastic processes (60G99)

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Cites work

• scientific article; zbMATH DE number 1325008 (Why is no real title available?)
• Approximation Schemes for Infinite Linear Programs
• Existence of Markov Controls and Characterization of Optimal Markov Controls
• Linear Programming Formulation for Optimal Stopping Problems
• Linear programming and sequential decisions
• Occupation measures for controlled Markov processes: Characterization and optimality
• On approximation by polygons in the calculus of variations
• Stationary solutions and forward equations for controlled and singular martingale problems
• Time-average control of martingale problems: A linear programming formulation
• Unique characterization of conditional distributions in nonlinear filtering

Cited in

(6)

• Filtering method for linear and non-linear stochastic optimal control of partially observable systems
• An admissible systems approach to separation in partially observed stochastic control problems
• scientific article; zbMATH DE number 21854 (Why is no real title available?)
• Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation
• A separation theorem for stochastic singular linear quadratic control problem with partial information
• Two-armed restless bandits with imperfect information: stochastic control and indexability

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