Ergodic control of partially observed Markov processes with equivalent transition probabilities

• Autorzy: Łukasz Stettner
• Języki publikacji: EN

Abstrakty

EN

Optimal control with long run average cost functional of a partially observed Markov process is considered. Under the assumption that the transition probabilities are equivalent, the existence of the solution to the Bellman equation is shown, with the use of which optimal strategies are constructed.

Słowa kluczowe

EN

partial observation; long run average cost; stochastic control; Bellman equation

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 1993-1995
• Tom: 22
• Numer: 1
• Strony: 25-38

Daty

wydano

1993

otrzymano

1992-6-22

Twórcy

autor

Łukasz Stettner

• Institute of Mathematics, Polish Academy of Sciences, P.O. Box 137, 00-950 Warszawa, Poland

Bibliografia

• [1] G. B. Di Masi and Ł. Stettner, On adaptive control of a partially observed Markov chain, Applicationes Math., to appear
• [2] E. Fernandez-Gaucherand, A. Arapostatis and S. J. Marcus, Adaptive control of a partially observed controlled Markov chain, in: Stochastic Theory and Adaptive Control, T. E. Duncan and B. Pasik-Duncan (eds.), Lecture Notes in Control and Inform. Sci. 184, Springer, 1992, 161-171
• [3] E. Fernandez-Gaucherand, A. Arapostatis and S. J. Marcus, On partially observable Markov decision processes with an average cost criterion, Proc. 28 CDC, Tampa, Florida, 1989, 1267-1272
• [4] O. Hernandez-Lerma, Adaptive Markov Control Processes, Springer, New York, 1989
• [5] H. Korezlioglu and G. Mazziotto, Estimation recursive en transmission numerique, Proc. Neuvième Colloque sur le Traitement du Signal et ses Applications, Nice, 1983
• [6] M. Kurano, On the existence of an optimal stationary J-policy in non-discounted Markovian decision processes with incomplete state information, Bull. Math. Statist. 17 (1977), 75-81
• [7] H. L. Royden, Real Analysis, Macmillan, New York, 1968
• [8] W. J. Runggaldier and Ł. Stettner, Nearly optimal controls for stochastic ergodic problems with partial observation, SIAM J. Control Optim. 31 (1993), 180-218
• [9] K. Wakuta, Semi-Markov decision processes with incomplete state observation-average cost criterion, J. Oper. Res. Soc. Japan 24 (1981), 95-108.