Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation

SIAM Journal on Control and Optimization, Volume 62, Issue 1, Page 326-350, February 2024.
Abstract. We consider a class of stochastic optimal control problems with partial observation, and study their approximation by discrete-time control problems. We establish a convergence result by using the weak convergence technique of Kushner and Dupuis [Numerical Methods for Stochastic Control Problems in Continuous Time, Springer, New York], together with the notion of relaxed control rule introduced by El Karoui, Huù Nguyen and Jeanblanc-Picqué [SIAM J. Control Optim., 26 (1988), pp. 1025–1061]. In particular, with a well chosen discrete-time control system, we obtain a first implementable numerical algorithm (with convergence) for the partially observed control problem. Moreover, our discrete-time approximation result would open the door to study convergence of more general numerical approximation methods, such as machine learning based methods. Finally, we illustrate our convergence result by numerical experiments on a partially observed control problem in a linear quadratic setting.