Approximation of target problems in Blackwell spaces
classification
🧮 math.PR
keywords
problemapproximatingblackwelltargetapproximationchaincompressioncomputational
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On a weakly Blackwell space we show how to define a Markov chain approximating problem, for the target problem. The approximating problem is proved to converge to the optimal reduced problem under different pseudometrics. A computational example of compression of information is discussed.
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