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  • Search: subject:"Stochastic control problem with partial information"
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Filter process 2 Generalized Hamilton–Jacobi–Bellman equation 2 MDP 2 Markovian jump process 2 Parallel queueing 2 Stochastic control problem with partial information 2
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Article 2
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Rieder, Ulrich 2 Winter, Jens 2
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Computational Statistics 1 Mathematical Methods of Operations Research 1
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RePEc 2
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Optimal control of Markovian jump processes with partial information and applications to a parallel queueing model
Rieder, Ulrich; Winter, Jens - In: Mathematical Methods of Operations Research 70 (2009) 3, pp. 567-596
We consider a stochastic control problem over an infinite horizon where the state process is influenced by an unobservable environment process. In particular, the Hidden-Markov-model and the Bayesian model are included. This model under partial information is transformed into an equivalent one...
Persistent link: https://www.econbiz.de/10010950006
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Cover Image
Optimal control of Markovian jump processes with partial information and applications to a parallel queueing model
Rieder, Ulrich; Winter, Jens - In: Computational Statistics 70 (2009) 3, pp. 567-596
We consider a stochastic control problem over an infinite horizon where the state process is influenced by an unobservable environment process. In particular, the Hidden-Markov-model and the Bayesian model are included. This model under partial information is transformed into an equivalent one...
Persistent link: https://www.econbiz.de/10010759224
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