A separation principle for partially observed control of singular stochastic processes
DOI10.1016/J.NA.2005.02.051zbMATH Open1224.93141OpenAlexW1968729191MaRDI QIDQ1000011FDOQ1000011
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
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singular stochastic controllinear programming separationprinciplelong-term average criterionpartially observed stochastic control
Cites Work
- Occupation measures for controlled Markov processes: Characterization and optimality
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- Existence of Markov Controls and Characterization of Optimal Markov Controls
- Time-average control of martingale problems: A linear programming formulation
- Approximation Schemes for Infinite Linear Programs
- Unique characterization of conditional distributions in nonlinear filtering
- Linear programming and sequential decisions
- Stationary solutions and forward equations for controlled and singular martingale problems
- Linear Programming Formulation for Optimal Stopping Problems
- On approximation by polygons in the calculus of variations
Cited In (6)
- Title not available (Why is that?)
- Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation
- Two-armed restless bandits with imperfect information: stochastic control and indexability
- 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
- A separation theorem for stochastic singular linear quadratic control problem with partial information
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