Stochastic Control of Partially Observable Systems (Paperback) (ISBN-13: 9780521611978)

The problem of stochastic control of partially observable systems plays an important role in many applications. All real problems are in fact of this type, and deterministic control as well as stochastic control with full observation can only be approximations to the real world. This justifies the importance of having a theory as complete as possible, which can be used for numerical implementation. This book first presents those problems under the linear theory that may be dealt with algebraically. Later chapters discuss the nonlinear filtering theory, in which the statistics are infinite dimensional and thus, approximations and perturbation methods are developed.

Author: Alain Bensoussan
ISBN-10: 0521611970
ISBN-13: 9780521611978
Publisher: Cambridge University Press
Language: English
Published: 11/11/2004
Pages: 364
Format: Paperback
Weight: 1.43lbs
Size: 9.69h x 7.44w x 0.75d