Optimization and Convergence of Observation Channels in Stochastic Control

Details Optimization and Convergence of Observation Channels in Stochastic Control Optimization and Convergence of Observation Channels in Stochastic Control

2010-09-20

arxiv.org/abs/1009.3824v2

Mathematics

Optimization and Control

24 pages, to appear in the SIAM Journal on Control and Optimization

Scientific paper

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.

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