The optimum stochastic control for a problem with random cost incursion times

DOI10.1109/TAC.1986.1104135MaRDI QIDQ3768792zbMATH OpenFDO

Authors Carl J. Wenk

Publication date 1986

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

zbMATH Keywords

stochastic dynamic programmingoptimal Bayesian controlrandom cost incursion timessequential stochastic control problem

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Bayesian problems; characterization of Bayes procedures (62C10) Dynamic programming (90C39) Dynamic programming in optimal control and differential games (49L20) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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Cited in

(1)

• Stochastic optimal control under Poisson-distributed observations

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