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Partially Observed Non-linear Risk-sensitive Optimal Stopping Control for Non-linear Discrete-time Systems

Ford, Jason J. (2006) Partially Observed Non-linear Risk-sensitive Optimal Stopping Control for Non-linear Discrete-time Systems. System and Control Letters, 55(9), pp. 770-776.

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Abstract

In this paper we introduce and solve the partially observed optimal stopping non-linear risk-sensitive stochastic control problem for discrete-time non-linear systems. The presented results are closely related to previous results for finite horizon partially observed risk-sensitive stochastic control problem. An information state approach is used and a new (three-way) separation principle established that leads to a forward dynamic programming equation and a backward dynamic programming inequality equation (both infinite dimensional).
A verification theorem is given that establishes the optimal control and optimal stopping time.
The risk-neutral optimal stopping stochastic control problem is also discussed.

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ID Code: 5348
Item Type: Journal Article
Keywords: Optimal control, Partially observed, Optimal stopping, Trajectory planning, Guidance, Seperation principle, Dynamic Programming, Non, linear, Risk, sensitive, Information state
DOI: 10.1016/j.sysconle.2006.03.005
ISSN: 0167-6911
Subjects: Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > APPLIED MATHEMATICS (010200) > Calculus of Variations Systems Theory and Control Theory (010203)
Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > APPLIED MATHEMATICS (010200) > Calculus of Variations Systems Theory and Control Theory (010203)
Divisions: Past > QUT Faculties & Divisions > Faculty of Built Environment and Engineering
Copyright Owner: Copyright 2006 Elsevier
Copyright Statement: Reproduced in accordance with the copyright policy of the publisher.
Deposited On: 27 Oct 2006
Last Modified: 29 Feb 2012 23:20

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