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.
Citation countsare sourced monthly fromand citation databases.
These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.
Citations counts from theindexing service can be viewed at the linked Google Scholar™ search.
Full-text downloadsdisplays the total number of times this work’s files (e.g., a PDF) have been downloaded from QUT ePrints as well as the number of downloads in the previous 365 days. The count includes downloads for all files if a work has more than one.
|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|
Repository Staff Only: item control page