A transformation method for stochastic control problems with partial observations |
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Authors: | Ger Koole |
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Affiliation: | Faculty of Mathematics and Computer Science, Vrije Universiteit, De Boelelaan 1081a, 1081 HV Amsterdam, Netherlands |
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Abstract: | Two stochastic control problems with partial observations are studied, one where the policy or control law depends only on the latest observation (the controller does not have recall of observations), and the other with the standard partial observations model. The equivalent full observation problems are formulated, and the equivalence is proven using a new method. The results are illustrated with a simple example. |
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Keywords: | Stochastic control Partial observations No recall |
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