Control with Partial Observations and an Explicit Solution of Mortensen’s Equation

Control with Partial Observations and an Explicit Solution of Mortensen’s Equation We formulate a stochastic control problem with a general information structure, and show that an optimal law exists and is characterized as the unique solution of a recursive stochastic equation. For a special information structure of the “signal-plus-noise” type and with quadratic cost-functions, this recursive equation is solved for the value function of the control problem. This value function is then shown to satisfy the Mortensen equation of Dynamic Programming in function-space. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Control with Partial Observations and an Explicit Solution of Mortensen’s Equation

Loading next page...
 
/lp/springer_journal/control-with-partial-observations-and-an-explicit-solution-of-lhMCSqz0HD
Publisher
Springer-Verlag
Copyright
Copyright © 2004 by Springer-Verlag
Subject
Philosophy
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-003-0788-0
Publisher site
See Article on Publisher Site

Abstract

We formulate a stochastic control problem with a general information structure, and show that an optimal law exists and is characterized as the unique solution of a recursive stochastic equation. For a special information structure of the “signal-plus-noise” type and with quadratic cost-functions, this recursive equation is solved for the value function of the control problem. This value function is then shown to satisfy the Mortensen equation of Dynamic Programming in function-space.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: May 1, 2004

There are no references for this article.

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$360/year

Save searches from
Google Scholar,
PubMed

Create lists to
organize your research

Export lists, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month

PDF Discount

20% off