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Ergodic control of partially observed Markov chains |
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| Authors: | Vivek S Borkar |
| Affiliation: | aLaboratory for Information and Decision Systems, Massachusetts Institute of Technology, 77 Massachusetts Avenue, Cambridge, MA 02139, USA;bDepartment of Computer Science and Automation, Indian Institute of Science, Bangalore 560012, India |
| Abstract: | The ergodic or long-run average cost control problem for a partially observed finite-state Markov chain is studied via the associated fully observed separated control problem for the nonlinear filter. Dynamic programming equations for the latter are derived, leading to existence and characterization of optimal stationary policies. |
| Keywords: | Controlled Markov chains Ergodic control Partial observations Dynamic programming Optimal stationary policies |
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