2 citations · 3 across the 5 of their papers we have counts for
4 papers · 1 filter
Partially observed controlled Markov chains and optimal control of the Wonham filter
Fulvia Confortola, Marco Fuhrman
We consider a class of optimal control problems, with finite or infinite horizon, for a continuous-time Markov chain with finite state space. In this case, the control process affe…
Optimal control of McKean-Vlasov systems under partial observation and hidden Markov switching
Marco Fuhrman, Huyên Pham, Silvia Ruda
We study a class of mean-field control problems under partial observation. The controlled dynamics are of McKean-Vlasov type and are subject to regime switching driven by a hidden…
Ergodic control of McKean-Vlasov systems on the Wasserstein space
Marco Fuhrman, Silvia Rudà
We consider an optimal control problem with ergodic (long term average) reward for a McKean-Vlasov dynamics, where the coefficients of a controlled stochastic differential equation…
The randomization method in stochastic optimal control
Marco Fuhrman
In this paper we make a survey on the so called randomization method, a recent methodology to study stochastic optimization problems. It allows to represent the value function of a…