Problems in Optimal Filtering and Stochastic Control.
Final scientific rept. 1 Jun 77-31 Mar 81,
PURDUE UNIV LAFAYETTE IND DEPT OF MATHEMATICS
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In this research we continue our investigations of approximation techniques for a wide class of discrete and continuous time stochastic control problems. Emphasis is placed on the development and theoretical justification of techniques which yield computationally tractable algorithms that answer the following 1 approximations to the optimal cost and the cost of using particular control 2 approximations to the optimal control 3 evaluation of the relative performance of two controls and 4 estimates for the deterioration in system performance due to the failure to observe system components. Author
- Statistics and Probability