Stochastic Control with Partial Observations on an Infinite Horizon

van Schuppen, J.H.

Stochastic Control with Partial Observations on an Infinite Horizon

Book chapter (2021)

Authors

J.H. van Schuppen Mathematical Physics -

Research Group

Mathematical Physics () (TU Delft)

Stochastic control Partial observations Infinite horizon

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Published Date

2021

Language

English

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Mathematical Physics

Abstract

Optimal stochastic control problems are considered for a time-invariant stochastic control system with partial observations on an infinite horizon. Such problems can be solved by a dynamic programming method for partial observations. Both the average cost and the discounted cost functions are considered. Treated as special cases are optimal control problems for a Gaussian stochastic control system and for a finite stochastic control system.