Partially Observable Control Problems with Compulsory Shifts of the State

Runggaldier, W.J. & Stettner, L. (1992). Partially Observable Control Problems with Compulsory Shifts of the State. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-92-034


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Stochastic control problems with partial state observation and the long-run average cost criterion are among the most difficult dynamic stochastic optimization problems and almost nothing has so far appeared in the literature concerning their solution. On the other hand many problems in Engineering, Operations Research, and the Economic and Social Sciences can be modelled as problems of the above type. In the present paper we study conditions under which the filtering process associated with the partially observed state process has a unique invariant measure and describe ways to approximate it. We finally discuss the applications of these results to the construction of nearly optimal controls.

Item Type: Monograph (IIASA Working Paper)
Research Programs: System and Decision Sciences - Core (SDS)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:02
Last Modified: 27 Aug 2021 17:14

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