Separation principle for impulse control with partial information
- 1 January 1983
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 10 (1) , 47-73
- https://doi.org/10.1080/17442508308833262
Abstract
This article is concerned with the impulse control of stochastic systems, the internal state of which is only known by a noisy observation with both continuous and discontinuous components. It is shown that among the controls depending on the observation there exists an optimal one, that can be recursively constructed as a function of the filter associated with the system.Keywords
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