Optimal control of partially observed diffusions via the separation principle

Stochastic Differential Systems - Lecture Notes in Control and Information Sciences ◽

10.1007/bfb0044310 ◽

2006 ◽

pp. 302-311 ◽

Cited By ~ 9

Author(s):

U. G. Haussmann

Keyword(s):

Optimal Control ◽

Separation Principle ◽

Partially Observed ◽

Partially Observed Diffusions

Optimal control of partially observed diffusions

Advances in Filtering and Optimal Stochastic Control - Lecture Notes in Control and Information Sciences ◽

10.1007/bfb0004524 ◽

2005 ◽

pp. 38-53 ◽

Cited By ~ 2

Author(s):

A. Bensoussan

Keyword(s):

Optimal Control ◽

Partially Observed ◽

Partially Observed Diffusions

Optimal Control for Partially Observed Diffusions

SIAM Journal on Control and Optimization ◽

10.1137/0320021 ◽

1982 ◽

Vol 20 (2) ◽

pp. 261-285 ◽

Cited By ~ 110

Author(s):

Wendell H. Fleming ◽

Etienne Pardoux

Keyword(s):

Optimal Control ◽

Partially Observed ◽

Partially Observed Diffusions

Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions

Stochastics ◽

10.1080/17442508308833253 ◽

1983 ◽

Vol 9 (3) ◽

pp. 169-222 ◽

Cited By ~ 99

Author(s):

A. Bensoussan

Keyword(s):

Optimal Control ◽

Dynamic Programming ◽

Maximum Principle ◽

Partially Observed ◽

Partially Observed Diffusions

Necessary conditions for partially observed optimal control of general McKean–Vlasov stochastic differential equations with jumps

International Journal of Control ◽

10.1080/00207179.2021.1961020 ◽

2021 ◽

pp. 1-12

Author(s):

Hakima Miloudi ◽

Shahlar Meherrem ◽

Imad Eddine Lakhdari ◽

Mokhtar Hafayed

Keyword(s):

Optimal Control ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Necessary Conditions ◽

Partially Observed

On the construction of nearly optimal strategies for a general problem of control of partially observed diffusions

Stochastics and Stochastics Reports ◽

10.1080/17442509108833725 ◽

1991 ◽

Vol 37 (1-2) ◽

pp. 15-47 ◽

Cited By ~ 8

Author(s):

W. J. Runggaldier ◽

Ł Stettner

Keyword(s):

General Problem ◽

Optimal Strategies ◽

Partially Observed ◽

Partially Observed Diffusions

On optimal control of a class of partially observed discrete event systems

Automatica ◽

10.1016/s0005-1098(02)00089-4 ◽

2002 ◽

Vol 38 (11) ◽

pp. 1935-1943 ◽

Cited By ~ 17

Author(s):

Hervé Marchand ◽

Olivier Boivineau ◽

Stéphane Lafortune

Keyword(s):

Optimal Control ◽

Discrete Event Systems ◽

Discrete Event ◽

Event Systems ◽

Partially Observed

Particle filters for partially observed diffusions

Journal of the Royal Statistical Society Series B (Statistical Methodology) ◽

10.1111/j.1467-9868.2008.00661.x ◽

2008 ◽

Vol 70 (4) ◽

pp. 755-777 ◽

Cited By ~ 47

Author(s):

Paul Fearnhead ◽

Omiros Papaspiliopoulos ◽

Gareth O. Roberts

Keyword(s):

Particle Filters ◽

Partially Observed ◽

Partially Observed Diffusions

Finite horizon quadratic optimal control and a separation principle for Markovian jump linear systems

IEEE Transactions on Automatic Control ◽

10.1109/tac.2003.817938 ◽

2003 ◽

Vol 48 (10) ◽

pp. 1836-1842 ◽

Cited By ~ 48

Author(s):

O.L.V. Costa ◽

E.F. Tuesta

Keyword(s):

Optimal Control ◽

Linear Systems ◽

Finite Horizon ◽

Separation Principle ◽

Markovian Jump ◽

Jump Linear Systems ◽

Markovian Jump Linear Systems ◽

Quadratic Optimal Control

Correction to “existence of optimal controls for partially observed diffusions”

Stochastics ◽

10.1080/17442508408833332 ◽

1984 ◽

Vol 14 (1) ◽

pp. 81-82 ◽

Cited By ~ 1

Author(s):

Vivek S. Borkar

Keyword(s):

Optimal Controls ◽

Existence Of Optimal Controls ◽

Partially Observed ◽

Partially Observed Diffusions

A particle implementation of the recursive MLE for partially observed diffusions

IFAC Proceedings Volumes ◽

10.1016/s1474-6670(17)34934-0 ◽

2003 ◽

Vol 36 (16) ◽

pp. 1269-1274

Author(s):

Arnaud Guyader ◽

François Le Gland ◽

Nadia Oudjane

Keyword(s):

Partially Observed ◽

Partially Observed Diffusions