Average cost dynamic programming equations for controlled Markov chains with partial observations

Borkar, V. S. (2000) Average cost dynamic programming equations for controlled Markov chains with partial observations SIAM Journal on Control and Optimization, 39 (3). pp. 673-681. ISSN 0363-0129

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Official URL: http://epubs.siam.org/sicon/resource/1/sjcodc/v39/...

Abstract

The value function for the average cost control of a class of partially observed Markov chains is derived as the "vanishing discount limit," in a suitable sense, of the value functions for the corresponding discounted cost problems. The limiting procedure is justified by bounds derived using a simple coupling argument.

Item Type:Article
Source:Copyright of this article belongs to Society for Industrial and Applied Mathematics.
Keywords:Average Cost Control; Controlled Markov Chains; Partial Observations; Dynamic Programming; Vanishing Discount Limit
ID Code:81446
Deposited On:06 Feb 2012 05:04
Last Modified:06 Feb 2012 05:04

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