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An approximation method for controlled discrete jump processes under partial observations
DOI:10.1109/9.975469.png)
摘要
En 中文
The paper is concerned with control and filtering of a discrete jump Markov process when only the total number of jumps is observed. A partially observable control problem is considered and equivalence between this problem and the separated one is proved. A technique to approximate the value function, under some suitable assumptions, is presented.
Keyword:
approximation
Markov jump processes
optimal stochastic control
partial observations
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期刊
IF:
7
论文数:
1.3W
被引数:
6.7W
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