Name
Abstract | ||
|---|---|---|
Weak Feller property of controlled and control-free Markov chains leads to many desirable properties. In control-free setups this leads to the existence of invariant probability measures for compact spaces and applicability of numerical approximation methods. For controlled setups, this leads to existence and approximation results for optimal control policies. We know from stochastic control theory that partially observed systems can be converted to fully observed systems by replacing the original state space with a probability measure-valued state space, with the corresponding kernel acting on probability measures known as the non-linear filter process. Establishing sufficient conditions for the weak Feller property for such processes is a significant problem, studied under various assumptions and setups in the literature. In this paper, we prove the weak Feller property of the non-linear filter process (i) first under weak continuity of the transition probability of controlled Markov chain and total variation continuity of its observation channel, and then, (ii) under total variation continuity of the transition probability of controlled Markov chain. The former result (i) has first appeared in Feinberg et al. (2016). Here, we present a concise and easy to follow alternative proof for this existing result. The latter result (ii) establishes weak Feller property of non-linear filter process under conditions which have not been previously reported in the literature. |
Year | DOI | Venue |
|---|---|---|
2019 | 10.1016/j.sysconle.2019.104512 | Systems & Control Letters |
Keywords | Field | DocType |
Non-linear filtering,Partially observed stochastic control | Kernel (linear algebra),Applied mathematics,Mathematical optimization,Nonlinear system,Optimal control,Markov chain,Probability measure,Invariant (mathematics),State space,Mathematics,Stochastic control | Journal |
Volume | ISSN | Citations |
134 | 0167-6911 | 1 |
PageRank | References | Authors |
0.36 | 4 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Ali Devran Kara | 1 | 1 | 0.36 |
| Naci Saldi | 2 | 29 | 10.27 |
| Serdar Yüksel | 3 | 457 | 53.31 |