Now showing items 1-4 of 4
The Partially Observed Stochastic Minimum Principle.
Various proofs have been given of the minimum principle satisfied by an optimal control in a partially observed stochastic control problem. See, for example, the papers by Bensoussan , Elliott , Haussmann , and ...
Optimal Sensor Scheduling In Nonlinear Filtering of Diffusion Processes.
We consider the nonlinear filtering problem of a vector diffusion process, when several noisy vector observations with possibly different dimension of their range space are available. At each time any number of these ...
Symbolic and Numeric Real-Time Signal Processing.
We consider real-time sequential detection and estimation problems for non-gaussian signal and noise models. We develop optimal algorithms and several architectures for real-time implementation based on numerical algorithms, ...
The Conditional Adjoint Process.
The adjoint and minimum principle for a partially observed diffusion can be obtained by differentiating the statement that a control u* is optimal. Using stochastic flows the variation in the cost resulting from a change ...