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.
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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|Item Type:||Journal Article|
|Keywords:||Optimal control, Partially observed, Optimal stopping, Trajectory planning, Guidance, Seperation principle, Dynamic Programming, Non, linear, Risk, sensitive, Information state|
|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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