Asymptotic Optimality of Approximate Filters in Stochastic Systems with Colored Noises.

Alain Le Breton Marie-Christine Roubaud

Published in: SIAM J. Control. Optim. (2000)

Keyphrases

stochastic systems
asymptotic optimality
asymptotically optimal
stopping rules
stochastic models
sufficient conditions
conservation laws
sample path
flowshop
confidence intervals
multiscale
objective function
optimal policy
asymptotic analysis