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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 ...

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 ...