Stochastic Control of Partially Observable Systems

Note: Supplemental materials are not guaranteed with Rental or Used book purchases.

ISBN: 9780521611978 | 0521611970
Cover: Paperback
Copyright: 11/11/2004

Rent

(Recommended)

$41.78

Term

Due

Price

Semester

Dec 13

$43.97

Quarter

Aug 16

$41.78

Short Term

Jul 10

$39.57

*This item is part of an exclusive publisher rental program and requires an additional convenience fee. This fee will be reflected in the shopping cart.
Buy New

Special Order: 1-2 Weeks

$60.08

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.

Preface

vii

Linear filtering theory

(18)

Filtering theory in discrete time

(9)

Filtering theory in continuous time

(8)

Optimal stochastic control for linear dynamic systems with quadratic payoff

(34)

A brief review of the deterministic systems

(3)

Optimal stochastic control with complete observation

(6)

Optimal stochastic control with partial information: simplified approach

(7)

Complete solution of the optimal stochastic control problem with partial information

(17)

Optimal control of linear stochastic systems with an exponential-of-integral performance index

(21)

The full observation case

(5)

The partial observation case

(13)

Additional remarks to the partial information case

(2)

Non linear filtering theory

(62)

Non linear filtering equation

(13)

Uniqueness theorem

(5)

Equation of the conditional probability

(7)

An explicit solution

101

(4)

Correlation between the signal noise and the observation noise

105

(9)

Some representation formulas for the conditional probability

114

(12)

Study of stochastic PDEs

126

(9)

Concluding remarks

135

(1)

Perturbation methods in non linear filtering

136

(54)

Linear systems with small noise in the observation

138

(8)

Non linear systems with small noise in the observation

146

(21)

Dynamic systems with small noise and small signal to noise ratio

167

(10)

Non linear filtering for dynamic systems with singular perturbations

177

(13)

Some explicit solutions of the Zakai equation

190

(32)

Non gaussian initial condition

192

(5)

Explicit solution in the case of a non linear drift

197

(7)

The conditionally gaussian case

204

(18)

Some explicit controls for systems with partial observation

222

(46)

The separation principle

223

(4)

The Bellman equation for the separated problem when Uad is bounded

227

(6)

Solution of the stochastic control problem with partial information when Uad is bounded

233

(5)

Solution of the Bellman equation in some particular cases, with bounded controls

238

(8)

Solution of the predicted-miss and minimum distance problems

246

(7)

An extension of the concept of solution

253

(15)

Stochastic maximum principle and dynamic programming for systems with partial observation

268

(58)

Setting of the problem

270

(6)

Stochastic maximum principle

276

(13)

Applications of the stochastic maximum principle

289

(8)

Preliminaries to dynamic programming

297

(8)

Stationary dynamic programming

305

(9)

Non stationary dynamic programming

314

(9)

Non linear semigroup

323

(3)

Existence results for stochastic control problems with partial information

326

(14)

Notation: setting of the problem

327

(3)

Stochastic optimal control

330

(6)

Existence of a solution

336

(4)

References

340

(11)

Index

351

Please wait while the item is added to your bag...

FREE SHIPPING

Amazon no longer offers textbook rentals. We do!

Stochastic Control of Partially Observable Systems

Summary

Table of Contents

Supplemental Materials