Partially observed non-linear risk-sensitive optimal stopping control for non-linear discrete-time systems |
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Authors: | Jason J Ford |
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Affiliation: | aSchool of Engineering Systems, Queensland University of Technology, G.P.O. Box 2434, Brisbane 4001, Australia |
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Abstract: | 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. |
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Keywords: | Partially observed Optimal stopping Information state Dynamic programming Stochastic control |
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