Stochastic Control of Partially Observable Systems by Alain Bensoussan
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Stochastic Control of Partially Observable Systems
By Alain Bensoussan

Stochastic Control of Partially Observable Systems

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Format: Paperback

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Stochastic Control of Partially Observable Systems by Alain Bensoussan

Book Description

The problem of stochastic control of partially observable systems plays an important role in many applications. All real problems are in fact of this type, and deterministic control as well as stochastic control with full observation can only be approximations to the real world. This justifies the importance of having a theory as complete as possible, which can be used for numerical implementation. This book first presents those problems under the linear theory that may be dealt with algebraically. Later chapters discuss the nonlinear filtering theory, in which the statistics are infinite dimensional and thus, approximations and perturbation methods are developed.

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Book Details

ISBN: 9780521611978
ISBN-10: 0521611970
Format: Paperback
(247mm x 174mm x 19mm)
Pages: 364
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 11-Nov-2004
Country of Publication: United Kingdom

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Books By Author Alain Bensoussan

Mathematical Modelling and Numerical Methods in Finance by Alain Bensoussan Mathematical Modelling and Numerical Methods in Finance, Hardback (December 2008)

Mathematical Finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. This book addresses the three aspects in the field: mathematical models, computational methods, and applications.

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