Stochastic control of partially observable systems
By: Alain Bensoussan.
Publisher: Cambridge University Press
Published: 1992
Place of publication: Cambridge; New York, NY, USA
Language: eng
Number of pages: 352
Subjects: Stochastic control theory.
Description: 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.
Notes: Includes bibliographical references (p. 340-349) and index.