Title :
Risk sensitive control of discrete time partially observed Markov processes with infinite horizon
Author :
Di Masi, G.B. ; Stettner, L.
Author_Institution :
Dipt. di Matematica Pura e Applicata, Padova Univ., Italy
Abstract :
In this paper existence of solutions to the Bellman equation corresponding to risk sensitive control of partially observed discrete time Markov processes is shown; this in turn leads to the existence of optimal strategies. The method used in the paper is based on discounted risk sensitive approximation
Keywords :
Markov processes; discrete time systems; observability; probability; approximation; discrete time Markov processes; ergodic cost function; partial observation; probability; risk sensitive control; Cost function; Density measurement; Equations; Extraterrestrial measurements; Infinite horizon; Marketing management; Markov processes; Optimal control; Process control; Random variables;
Conference_Titel :
Decision and Control, 1998. Proceedings of the 37th IEEE Conference on
Conference_Location :
Tampa, FL
Print_ISBN :
0-7803-4394-8
DOI :
10.1109/CDC.1998.758242
