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Limiting discounted-cost control of partially observable stochastic systems

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorHernández-Lerma, Onésimo
dc.contributor.authorRomera, Rosario
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2010-01-14T11:07:08Z
dc.date.available2010-01-14T11:07:08Z
dc.date.issued1999-12
dc.description.abstractThis paper presents two main results on partially observable (PO) stochastic systems. In the first one, we consider a general PO system Xt+1 = F(xt, ~, ~J, Yt = G(xo 'IlJ (t = 0, 1, ... ) (*) on Borel spaces, with possibly unbounded cost-per-stage functions, and give conditions for the existence of a-discount optimal control policies (0 < a < 1). In the second result we specialize (*) to additive-noise systems xt+1 = Fo (Xt' aJ + ~o Yt = Go (xJ + 'Ilt (t= 0, 1, ... ) in Euclidean spaces, with Fn (x,a) and Go(x) converging pointwise to functions F «l(x, a) and G«l(x), respectively, and give conditions for the limiting PO model Xt+1 = F «l(xt, aJ + ~t Yt = G«l(xJ + 'Ilt to have an a-discount optimal policy.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/6399
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries99-87-35
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.otherPartially observable control systems
dc.subject.otherpartially observable Markov control processes
dc.subject.otherhidden Markov models
dc.subject.otherdiscounted cost criterion
dc.titleLimiting discounted-cost control of partially observable stochastic systems
dc.typeworking paper*
dspace.entity.typePublication
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