Finite approximations in discrete-time stochastic control : quantized models and asymptotic optimality

Name: Finite approximations in discrete-time stochastic control : quantized models and asymptotic optimality
Author: Saldı, Naci, Linder, T., Yüksel, S.

Title	Finite approximations in discrete-time stochastic control : quantized models and asymptotic optimality
Author	Saldı, Naci, Linder, T., Yüksel, S.
Publication Date:	2018
Publication Place	- Birkhäuser Basel
Type	Book
Language	English
Digital	Yes
Manuscript	No
Library:	Özyeğin University
Library Asset ID	978-3-319-79032-9
Record ID	9ae866fe-061a-4412-bc3a-0d02223a8432
Library Location	Natural and Mathematical Sciences
Date	2018
Sample Text	In a unified form, this monograph presents fundamental results on the approximation of centralized and decentralized stochastic control problems, with uncountable state, measurement, and action spaces. It demonstrates how quantization provides a system-independent and constructive method for the reduction of a system with Borel spaces to one with finite state, measurement, and action spaces. In addition to this constructive view, the book considers both the information transmission approach for discretization of actions, and the computational approach for discretization of states and actions. Part I of the text discusses Markov decision processes and their finite-state or finite-action approximations, while Part II builds from there to finite approximations in decentralized stochastic control problems. This volume is perfect for researchers and graduate students interested in stochastic controls. With the tools presented, readers will be able to establish the convergence of approximation models to original models and the methods are general enough that researchers can build corresponding approximation results, typically with no additional assumptions.

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Özyeğin University

Finite approximations in discrete-time stochastic control : quantized models and asymptotic optimality

Author Saldı, Naci, Linder, T., Yüksel, S.

Publication Date 2018

Publication Place - Birkhäuser Basel

Type Book

Language English

Digital Yes

Manuscript No

Library Özyeğin University

Library Asset ID 978-3-319-79032-9

Record ID 9ae866fe-061a-4412-bc3a-0d02223a8432

Library Location Natural and Mathematical Sciences

Date 2018

Sample Text In a unified form, this monograph presents fundamental results on the approximation of centralized and decentralized stochastic control problems, with uncountable state, measurement, and action spaces. It demonstrates how quantization provides a system-independent and constructive method for the reduction of a system with Borel spaces to one with finite state, measurement, and action spaces. In addition to this constructive view, the book considers both the information transmission approach for discretization of actions, and the computational approach for discretization of states and actions. Part I of the text discusses Markov decision processes and their finite-state or finite-action approximations, while Part II builds from there to finite approximations in decentralized stochastic control problems. This volume is perfect for researchers and graduate students interested in stochastic controls. With the tools presented, readers will be able to establish the convergence of approximation models to original models and the methods are general enough that researchers can build corresponding approximation results, typically with no additional assumptions.