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AuthorWinter, Jensdc.contributor.author
Date of accession2016-03-14T15:20:06Zdc.date.accessioned
Available in OPARU since2016-03-14T15:20:06Zdc.date.available
Year of creation2008dc.date.created
AbstractWe consider a stochastic control problem where only groups of states of a Markovian jump process and not the complete state process is observable. In particular the Hidden-Markov-model and the Bayes-model are included. This model under incomplete information is transformed into an equivalent one with complete information with the help of the filter technique. An explicite construction of the processes and the filter is given. Then we propose two solution techniques. First, a generalized verification technique with the Hamilton-Jacobi-Bellman-equation. Second, a formulation of an equivalent time-discrete Markovian decision process. All results are illustrated for a parallel queueing model.dc.description.abstract
Languageendc.language.iso
PublisherUniversität Ulmdc.publisher
LicenseStandard (Fassung vom 03.05.2003)dc.rights
Link to license texthttps://oparu.uni-ulm.de/xmlui/license_v1dc.rights.uri
KeywordFilter theorydc.subject
KeywordIncomplete informationdc.subject
KeywordOptimization problemsdc.subject
KeywordParallel queueingdc.subject
Dewey Decimal GroupDDC 510 / Mathematicsdc.subject.ddc
LCSHHidden Markov modelsdc.subject.lcsh
LCSHJump processesdc.subject.lcsh
LCSHStochastic control theorydc.subject.lcsh
TitleOptimal control of Markovian jump processes with different information structuresdc.title
Resource typeDissertationdc.type
DOIhttp://dx.doi.org/10.18725/OPARU-1078dc.identifier.doi
PPN617390738dc.identifier.ppn
URNhttp://nbn-resolving.de/urn:nbn:de:bsz:289-vts-65458dc.identifier.urn
GNDMarkov-Sprungprozessdc.subject.gnd
FacultyFakultät für Mathematik und Wirtschaftswissenschaftenuulm.affiliationGeneral
Date of activation2008-10-23T20:45:14Zuulm.freischaltungVTS
Peer reviewneinuulm.peerReview
Shelfmark print versionZ: J-H 13.055; N: J-H 5.194uulm.shelfmark
DCMI TypeTextuulm.typeDCMI
VTS-ID6545uulm.vtsID
CategoryPublikationenuulm.category
University Bibliographyjauulm.unibibliographie


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