Stochastic Control of Partially Observable Systems - Hardcover

Bensoussan, Alain

Hardcover

ISBN 10: 052135403X ISBN 13: 9780521354035

Publisher: Cambridge University Press, 1992

Synopsis

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.

About this title

Book 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.

Review

"This excellently written monograph concerns one of the most difficult but important subjects of stochastic control when decisions have to be made only on part of the information on evolution of the system....valuable reading to anyone working in stochastic optimization." Yu. M. Kabanov, Mathematical Reviews

Edition details

• Publisher: Cambridge University Press
• Publication date: 1992
• Language: English
• ISBN 10: 052135403X
• ISBN 13: 9780521354035
• Binding: Hardcover
• Number of pages: 360