Optimal control for a class of partially observable systems†

DOI10.1080/17442508208833225MaRDI QIDQ3966030zbMATH OpenOpenAlexFDO

Authors Norbert Christopeit, K. Helmes

Publication date 1982

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508208833225

zbMATH Keywords

bang-bang controlcertainty equivalencefinite horizonpartially observable systemsseparation principle

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Diffusion processes (60J60) Optimal stochastic control (93E20)

Cites work

• Composition and invariance methods for solving some stochastic control problems
• Full “Bang” to Reduce Predicted Miss is Optimal
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 3576395 (Why is no real title available?)
• On Benes' bang-bang control problem
• ON CONTROLLED DIFFUSION PROCESSES WITH UNBOUNDED COEFFICIENTS
• On stochastic bang bang control
• On the existence of weak solutions to stochastic differential equations with degenerate diffusion
• On the separation principle with bounded controls
• On the Stochastic Maximum Principle
• On the Strong Solutions of Stochastic Differential Equations
• On “predicted miss” stochastic control problems
• Reflected Brownian Motion in the “Bang-Bang” Control of Brownian Drift
• Representations of Itô Processes
• Some Examples of Optimal Stochastic Controls OR: The Stochastic Maximum Principle at Work
• The Separation Principle in Stochastic Control via Girsanov Solutions

Cited in

(3)

• Existence of optimal controls for partially observed linear diffusions
• Examples of optimal controls for linear stochastic control systems with partial observation
• Optimal discounted control for a continuous time inventory model

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