Stochastic Control with Partial Observations on an Infinite Horizon

Jan H. van Schuppen*

*Corresponding author for this work

Research output: Chapter in Book/Conference proceedings/Edited volumeChapterScientific


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.

Original languageEnglish
Title of host publicationControl and System Theory of Discrete-Time Stochastic Systems
Number of pages18
ISBN (Electronic)978-3-030-66952-2
Publication statusPublished - 2021

Publication series

NameCommunications and Control Engineering
ISSN (Print)0178-5354
ISSN (Electronic)2197-7119


  • Infinite horizon
  • Partial observations
  • Stochastic control


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