Partially Observed Markov Decision Processes: Filtering, Learning and Controlled Sensing [Hardcover]

This new edition includes inverse reinforcement learning, non-parametric Bayesian inference, variational Bayes and conformal prediction.This survey of formulation, algorithms, and structural results in POMDPs focuses on underlying concepts and connections to real-world applications in controlled sensing, keeping technical machinery to a minimum. The new edition includes inverse reinforcement learning, non-parametric Bayesian inference, variational Bayes and conformal prediction.This survey of formulation, algorithms, and structural results in POMDPs focuses on underlying concepts and connections to real-world applications in controlled sensing, keeping technical machinery to a minimum. The new edition includes inverse reinforcement learning, non-parametric Bayesian inference, variational Bayes and conformal prediction.Covering formulation, algorithms and structural results and linking theory to real-world applications in controlled sensing (including social learning, adaptive radars and sequential detection), this book focuses on the conceptual foundations of partially observed Markov decision processes (POMDPs). It emphasizes structural results in stochastic dynamic programming, enabling graduate students and researchers in engineering, operations research, and economics to understand the underlying unifying themes without getting weighed down by mathematical technicalities. In light of major advances in machine learning over the past decade, this edition includes a new Part V on inverse reinforcement learning as well as a new chapter on non-parametric Bayesian inference (for Dirichlet processes and Gaussian processes), variational Bayes and conformal prediction.Preface to revised edition; Notation; 1. Introduction; I. Stochastic Models and Bayesian Filtering: 2. Stochastic state space model; 3. Optimal filtering; 4. Algorithms for maximum likelihood parameter estimation; 5. Multi-agent sensing: social learning and data incest; 6. Nonparametric Bayesian inference; l9