On an optimum principle for partially observed controlled jump Markovian processes

van Huu Nguyen

Kybernetika (1981)

  • Volume: 17, Issue: 3, page 256-268
  • ISSN: 0023-5954

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Nguyen, van Huu. "On an optimum principle for partially observed controlled jump Markovian processes." Kybernetika 17.3 (1981): 256-268. <http://eudml.org/doc/28585>.

@article{Nguyen1981,
author = {Nguyen, van Huu},
journal = {Kybernetika},
keywords = {optimum principle; partially observed controlled jump Markovian processes; cost function; local dynamic programming condition; transition intensities; a posteriori probabilities of the states},
language = {eng},
number = {3},
pages = {256-268},
publisher = {Institute of Information Theory and Automation AS CR},
title = {On an optimum principle for partially observed controlled jump Markovian processes},
url = {http://eudml.org/doc/28585},
volume = {17},
year = {1981},
}

TY - JOUR
AU - Nguyen, van Huu
TI - On an optimum principle for partially observed controlled jump Markovian processes
JO - Kybernetika
PY - 1981
PB - Institute of Information Theory and Automation AS CR
VL - 17
IS - 3
SP - 256
EP - 268
LA - eng
KW - optimum principle; partially observed controlled jump Markovian processes; cost function; local dynamic programming condition; transition intensities; a posteriori probabilities of the states
UR - http://eudml.org/doc/28585
ER -

References

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  1. R. Boel P. Varaiya, Optimal control of jump processes, SIAM J. Control and Optimization 15 (1977), 1, 92-119. (1977) MR0441521
  2. M. Davis R. Elliott, Optimal control of a jump process, Z. Wahrscheinlichkeitstheorie und Verw. Gebiete 40 (1977), 183-202. (1977) MR0488263
  3. M. H. A. Davis P. Varaiya, Dynamic programming conditions for partially observable stochastic systems, SIAM J. Control 11 (1973), 2, 226-261. (1973) MR0319642
  4. J. Jacod, Multivariate point processes: Predictable projection, Randon-Nikodym derivatives representation of martingales, Z. Wahrscheinlichkeitstheorie und Verw. Gebiete 31 (1975), 2, 235-253. (1975) MR0380978
  5. R. S. Liptser A. N. Shiryayev, Statistics of Random Processes I, II, Springer-Verlag, New York-Heidelberg-Berlin 1977, 1978. (1977) MR0474486
  6. P. A. Meyer, Probability and Potentials, Blaisdell, Waltham, Mass. 1966. (1966) Zbl0138.10401MR0205288
  7. S. R. Pliska, Controlled jump processes, Stochastic Processes and Appl. 3, (1975), 3, 259-282. (1975) Zbl0313.60055MR0406531
  8. R. W. Rishel, The minimum principle, separation principle, and dynamic programming for partially observed jump process, IEEE Trans. Autom. Control AC-23 (1978), 6, 1009-1014. (1978) MR0513971
  9. C. B. Wan M. H. A. Davis, Existence of optimal controls for stochastic jump processes, SIAM J. Control and Optimization 17 (1979), 4, 511-524. (1979) MR0534421

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