Borkar, V. S. ; Borkar, S. ; Budhiraja, Amarjit (2004) A further remark on dynamic programming for partially observed markov processes Stochastic Processes and their Applications, 112 (1). pp. 79-93. ISSN 0304-4149
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Official URL: http://linkinghub.elsevier.com/retrieve/pii/S03044...
Related URL: http://dx.doi.org/10.1016/j.spa.2004.01.011
Abstract
In (Stochastic Process. Appl. 103 (2003) 293), a pair of dynamic programming inequalities were derived for the 'separated'ergodic control problem for partially observed Markov processes, using the 'vanishing discount'argument. In this note, we strengthen these results to derive a single dynamic programming equation for the same.
| Item Type: | Article |
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| Source: | Copyright of this article belongs to Elsevier Science. |
| Keywords: | Controlled Markov Processes; Dynamic Programming; Partial Observations; Ergodic Cost; Vanishing Discount; Pseudo-atom |
| ID Code: | 5276 |
| Deposited On: | 18 Oct 2010 07:50 |
| Last Modified: | 16 May 2016 15:48 |
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