Optimization and Convergence of Observation Channels in Stochastic Control

  • Authors:
  • Serdar Yüksel;Tamás Linder

  • Affiliations:
  • yuksel@mast.queensu.ca and linder@mast.queensu.ca;-

  • Venue:
  • SIAM Journal on Control and Optimization
  • Year:
  • 2012

Quantified Score

Hi-index 0.00

Visualization

Abstract

This paper studies the optimization of observation channels (stochastic kernels) in partially observed stochastic control problems. In particular, existence and continuity properties are investigated, mostly (but not exclusively) concentrating on the single-stage case. Continuity properties of the optimal cost in channels are explored under total variation, setwise convergence, and weak convergence. Sufficient conditions for compactness of a class of channels under total variation and setwise convergence are presented, and applications to quantization are explored.