Optimal Control of Point Processes with Noisy Observations: The Maximum Principle

Optimal Control of Point Processes with Noisy Observations: The Maximum Principle This paper studies the optimal control problem for point processes with Gaussian white-noised observations. A general maximum principle is proved for the partially observed optimal control of point processes, without using the associated filtering equation . Adjoint flows—the adjoint processes of the stochastic flows of the optimal system—are introduced, and their relations are established. Adjoint vector fields , which are observation-predictable, are introduced as the solutions of associated backward stochastic integral-partial differential equtions driven by the observation process. In a heuristic way, their relations are explained, and the adjoint processes are expressed in terms of the adjoint vector fields, their gradients and Hessians, along the optimal state process. In this way the adjoint processes are naturally connected to the adjoint equation of the associated filtering equation . This shows that the conditional expectation in the maximum condition is computable through filtering the optimal state, as usually expected. Some variants of the partially observed stochastic maximum principle are derived, and the corresponding maximum conditions are quite different from the counterpart for the diffusion case. Finally, as an example, a quadratic optimal control problem with a free Poisson process and a Gaussian white-noised observation is explicitly solved using the partially observed maximum principle. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Optimal Control of Point Processes with Noisy Observations: The Maximum Principle

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Publisher
Springer-Verlag
Copyright
Copyright © Inc. by 2001 Springer-Verlag New York
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-001-0031-9
Publisher site
See Article on Publisher Site

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