Finite Approximations in Discrete-Time Stochastic Control

Finite Approximations in Discrete-Time Stochastic Control

Quantized Models and Asymptotic Optimality

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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. ...