Performance bounds for discrete-time stochastic optimal control problems†
作者:
YOSHIKAZU SAWARAGI,
TSUNEO YOSHIKAWA,
期刊:
International Journal of Control
(Taylor Available online 1969)
卷期:
Volume 10,
issue 5
页码: 481-500
ISSN:0020-7179
年代: 1969
DOI:10.1080/00207176908905850
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
The purpose of this paper is to obtain some upper and lower bounds for the optimal performance of discrete-time stochastic optimal control problems with incomplete state observation and/or with unknown constant parameters. These bounds are useful for evaluation of various suboptimal policies. For a discrete-state case, Åström (l965) has shown two theorems which give these bounds. Our methods are extensions of his in several ways. Utilizing the result of our methods, an evaluation of the state information obtained from the observation signal is also developed.
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