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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 ...

Stochastic control problems for controlled Markov processes models with an infinite planning horizon are considered, under some non-standard cost criteria. The classical discounted and average cost criteria can be viewed ...

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 ...

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 ...

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 ...

We consider an adaptive finite state controlled Markov chain with partial state information, motivated by a class of replacement problems. We present parameter estimation techniques based on the information available after ...