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Risk-Sensitive Optimal Control of Hidden Markov Models: A Case Study
(1994)
We consider a risk-sensitive optimal control problem for hidden Markov models (HMM). Building upon recent results by Baras, James and Elliott, we investigate the structure of risk-sensitive controllers for HMM, via an ...
Risk-Sensitive, Minimax, and Mixed Risk-Neutral/Minimax Control of Markov Decision Processes
(1998)
This paper analyzes a connection between risk-sensitive and minimaxcriteria for discrete-time, finite-state Markov Decision Processes(MDPs). We synthesize optimal policies with respect to both criteria,both for finite ...
Existence of Risk Sensitive Optimal Stationary Policies for Controlled Markov Processes
(1997)
In this paper we are concerned with the existence of optimal stationary policies for infinite horizon risk sensitive Markov control processes with denumerable state space, unbounded cost function, and long run average cost. ...
Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey
(1991)
This work is a survey of the average cost control problem for discrete-time Markov processes. We have attempted to put together a comprehensive account of the considerable research on this problem over the past three ...
Optimal Control of Switching Diffusions with Application to Flexible Manufacturing Systems
(1991)
A Controlled switching diffusion model is developed to study the hierarchical control of flexible manufacturing systems. The existence of a homogeneous Markov nonrandomized optimal policy is established by a convex analytic ...
Non-Standard Optimality Criteria for Stochastic Control Problems
(1995)
In this paper, we survey several recent developments on non- standard optimality criteria for controlled Markov process models of stochastic control problems. Commonly, the criteria employed for optimal decision and control ...
Ergodic Control of Switching Diffusions
(1992)
We study the ergodic control problem of switching diffusions representing a typical hybrid system that arises in numerous applications such as fault tolerant control systems, flexible manufacturing systems, etc. Under ...
Risk-Sensitive Optimal Control of Hidden Markov Models: Structural Results
(1996)
We consider a risk-sensitive optimal control problem for hidden Markov models (HMM), i.e. controlled Markov chains where state information is only available to the controller via an output (message) process. Building upon ...
Probabilistic Language Framework for Stochastic Discrete Event Systems
(1996)
We introduce the notion of probabilistic languages to describe the qualitative behavior of stochastic discrete event systems. Regular language operators such as choice, concatenation, and Kleene-closure have been defined ...
A Note on an LQG Regulator with Markovian Switching and Pathwise Average Cost
(1994)
We study a linear system with a Markovian switching parameter perturbed by white noise. The cost function is quadratic. Under certain conditions, we find a linear feedback control which is almost surely optimal for the ...