Controlled Diffusions under Full, Partial and Decentralized Information: Existence of Optimal Policies and Discrete-Time Approximations Article Swipe
Somnath Pradhan
,
Serdar Yüksel
·
YOU?
·
· 2023
· Open Access
·
· DOI: https://doi.org/10.48550/arxiv.2311.03254
YOU?
·
· 2023
· Open Access
·
· DOI: https://doi.org/10.48550/arxiv.2311.03254
We present existence and discrete-time approximation results on optimal control policies for continuous-time stochastic control problems under a variety of information structures. These include fully observed models, partially observed models and multi-agent models with decentralized information structures. While there exist comprehensive existence and approximations results for the fully observed setup in the literature, few prior research exists on discrete-time approximation results for partially observed models. For decentralized models, even existence results have not received much attention except for specialized models and approximation has been an open problem. Our existence and approximations results lead to the applicability of well-established partially observed Markov decision processes and the relatively more mature theory of discrete-time decentralized stochastic control to be applicable for computing near optimal solutions for continuous-time stochastic control.
Related Topics
Concepts
Discrete time and continuous time
Markov chain
Optimal control
Mathematical optimization
Approximations of π
Stochastic control
Stochastic approximation
Markov process
Markov decision process
Applied mathematics
Control (management)
Mathematics
Variety (cybernetics)
Computer science
Statistics
Computer security
Artificial intelligence
Key (lock)
Metadata
- Type
- preprint
- Language
- en
- Landing Page
- http://arxiv.org/abs/2311.03254
- https://arxiv.org/pdf/2311.03254
- OA Status
- green
- Cited By
- 2
- Related Works
- 10
- OpenAlex ID
- https://openalex.org/W4388482196
All OpenAlex metadata
Raw OpenAlex JSON
- OpenAlex ID
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https://openalex.org/W4388482196Canonical identifier for this work in OpenAlex
- DOI
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https://doi.org/10.48550/arxiv.2311.03254Digital Object Identifier
- Title
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Controlled Diffusions under Full, Partial and Decentralized Information: Existence of Optimal Policies and Discrete-Time ApproximationsWork title
- Type
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preprintOpenAlex work type
- Language
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enPrimary language
- Publication year
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2023Year of publication
- Publication date
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2023-11-06Full publication date if available
- Authors
-
Somnath Pradhan, Serdar YükselList of authors in order
- Landing page
-
https://arxiv.org/abs/2311.03254Publisher landing page
- PDF URL
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https://arxiv.org/pdf/2311.03254Direct link to full text PDF
- Open access
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YesWhether a free full text is available
- OA status
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greenOpen access status per OpenAlex
- OA URL
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https://arxiv.org/pdf/2311.03254Direct OA link when available
- Concepts
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Discrete time and continuous time, Markov chain, Optimal control, Mathematical optimization, Approximations of π, Stochastic control, Stochastic approximation, Markov process, Markov decision process, Applied mathematics, Control (management), Mathematics, Variety (cybernetics), Computer science, Statistics, Computer security, Artificial intelligence, Key (lock)Top concepts (fields/topics) attached by OpenAlex
- Cited by
-
2Total citation count in OpenAlex
- Citations by year (recent)
-
2024: 2Per-year citation counts (last 5 years)
- Related works (count)
-
10Other works algorithmically related by OpenAlex
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