کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
752966 895482 2008 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Ergodicity of filtering process by vanishing discount approach
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
Ergodicity of filtering process by vanishing discount approach
چکیده انگلیسی

A new approach to study ergodicity of filtering processes is presented. It is based on the vanishing discount approach to discounted functional of filtering process. We show that limit superior of the Cesaro averages of the functionals is the same for all initial conditions from which the uniqueness of invariant measures of filtering processes follows. The approach is based on certain assumption for which we provide a sufficient condition using concavity arguments. In addition we show the existence of solutions to the Poisson equation corresponding to filtering process with concave functional. The assumptions are then extended to the controlled case and using similar concave arguments we obtain the existence of solutions to the Bellman equation corresponding to partially observed average cost per unit time problem.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Systems & Control Letters - Volume 57, Issue 2, February 2008, Pages 150–157
نویسندگان
, ,