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Focusing on stochastic control of partially observable systems, this book highlights its significance in real-world applications where deterministic and fully observed stochastic control are merely approximations. It begins with algebraic methods for linear theory problems, progressing to nonlinear filtering theory that addresses infinite-dimensional statistics. The text emphasizes the development of approximations and perturbation methods, aiming to provide a comprehensive framework for numerical implementation in complex control scenarios.
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Stochastic Control of Partially Observable Systems, Alain Bensoussan
- Language
- Released
- 2004
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- Title
- Stochastic Control of Partially Observable Systems
- Language
- English
- Authors
- Alain Bensoussan
- Publisher
- Cambridge University Press
- Publisher
- 2004
- Format
- Paperback
- Pages
- 364
- ISBN13
- 9780521611978
- Category
- Mathematics
- Description
- Focusing on stochastic control of partially observable systems, this book highlights its significance in real-world applications where deterministic and fully observed stochastic control are merely approximations. It begins with algebraic methods for linear theory problems, progressing to nonlinear filtering theory that addresses infinite-dimensional statistics. The text emphasizes the development of approximations and perturbation methods, aiming to provide a comprehensive framework for numerical implementation in complex control scenarios.