Stochastic Control of Partially Observable Systems

Stochastic Control of Partially Observable Systems

by Alain Bensoussan, Bensoussan Alain
     
 

ISBN-10: 0521611970

ISBN-13: 9780521611978

Pub. Date: 09/28/2004

Publisher: Cambridge University Press

The problem of stochastic control of partially observable systems plays an important role in many applications. All real problems are in fact of this type, and deterministic control as well as stochastic control with full observation can only be approximations to the real world. This justifies the importance of having a theory as complete as possible, which can be…  See more details below

Overview

The problem of stochastic control of partially observable systems plays an important role in many applications. All real problems are in fact of this type, and deterministic control as well as stochastic control with full observation can only be approximations to the real world. This justifies the importance of having a theory as complete as possible, which can be used for numerical implementation. This book first presents those problems under the linear theory that may be dealt with algebraically. Later chapters discuss the nonlinear filtering theory, in which the statistics are infinite dimensional and thus, approximations and perturbation methods are developed.

Product Details

ISBN-13:
9780521611978
Publisher:
Cambridge University Press
Publication date:
09/28/2004
Pages:
364
Product dimensions:
6.85(w) x 9.72(h) x 0.75(d)

Table of Contents

Preface; 1. Linear filtering theory; 2. Optimal stochastic control for linear dynamic systems with quadratic payoff; 3. Optimal control of linear stochastic systems with an exponential-of-integral performance index; 4. Non linear filtering theory; 5. Perturbation methods in non linear filtering; 6. Some explicit solutions of the Zakai equation; 7. Some explicit controls for systems with partial observation; 8. Stochastic maximum principle and dynamic programming for systems with partial observation; 9. Existence results for stochastic control problems with partial information; References; Index.

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