An Information Based Approach to Stochastic Control Problems
An information based method for solving stochastic control problems with partial observation is proposed. First, information-theoretic lower bounds of the cost function are analysed. It is shown, under rather weak assumptions, that reduction in the expected cost with closed-loop control compared wit...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2020-03-01
|
| Series: | International Journal of Applied Mathematics and Computer Science |
| Subjects: | |
| Online Access: | https://doi.org/10.34768/amcs-2020-0002 |