Optimal stochastic control problems are considered for a time-invariant stochastic control system with partial observations on an infinite horizon. Such problems can be solved by a dynamic programming method for partial observations. Both the average cost and the discounted cost functions are considered. Treated as special cases are optimal control problems for a Gaussian stochastic control system and for a finite stochastic control system.
|Title of host publication||Control and System Theory of Discrete-Time Stochastic Systems|
|Number of pages||18|
|Publication status||Published - 2021|
|Name||Communications and Control Engineering|
- Infinite horizon
- Partial observations
- Stochastic control