A separation principle for partially observed control of singular stochastic processes

DOI10.1016/j.na.2005.02.051zbMath1224.93141OpenAlexW1968729191MaRDI QIDQ1000011

Richard H. Stockbridge

Publication date: 4 February 2009

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2005.02.051

zbMATH Keywords

singular stochastic controllinear programming separationprinciplelong-term average criterionpartially observed stochastic control

Mathematics Subject Classification ID

Linear programming (90C05) Optimal stochastic control (93E20) Stochastic processes (60G99)

Related Items (2)

Two-Armed Restless Bandits with Imperfect Information: Stochastic Control and Indexability ⋮ Filtering method for linear and non-linear stochastic optimal control of partially observable systems

Cites Work

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• Existence of Markov Controls and Characterization of Optimal Markov Controls
• Linear Programming Formulation for Optimal Stopping Problems
• On approximation by polygons in the calculus of variations
• Stationary solutions and forward equations for controlled and singular martingale problems

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