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Limiting discounted-cost control of partially observable stochastic systems

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  • Hernández-Lerma, Onésimo
  • Romera, Rosario

Abstract

This paper presents two main results on partially observable (PO) stochastic systems. In the first one, we consider a general PO system Xt+1 = F(xt, ~, ~J, Yt = G(xo 'IlJ (t = 0, 1, ... ) (*) on Borel spaces, with possibly unbounded cost-per-stage functions, and give conditions for the existence of a-discount optimal control policies (0

Suggested Citation

  • Hernández-Lerma, Onésimo & Romera, Rosario, 1999. "Limiting discounted-cost control of partially observable stochastic systems," DES - Working Papers. Statistics and Econometrics. WS 6399, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:6399
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    References listed on IDEAS

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    1. Dutta, Prajit K. & Majumdar, Mukul K. & Sundaram, Rangarajan K., 1994. "Parametric continuity in dynamic programming problems," Journal of Economic Dynamics and Control, Elsevier, vol. 18(6), pages 1069-1092, November.
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    Keywords

    Partially observable control systems;

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