A linear programming relaxation for stochastic control problems with non-classical information patterns

Sharu Theresa Jose, Ankur A. Kulkarni. A linear programming relaxation for stochastic control problems with non-classical information patterns. In 54th IEEE Conference on Decision and Control, CDC 2015, Osaka, Japan, December 15-18, 2015. pages 5743-5748, IEEE, 2015. [doi]

Authors

Sharu Theresa Jose

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Ankur A. Kulkarni

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