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Risk-Sensitive Optimal Control of Hidden Markov Models: A Case Study

dc.contributor.authorFernandez-Gaucherand, Emmanuelen_US
dc.contributor.authorMarcus, Steven I.en_US
dc.date.accessioned2007-05-23T09:57:09Z
dc.date.available2007-05-23T09:57:09Z
dc.date.issued1994en_US
dc.identifier.urihttp://hdl.handle.net/1903/5544
dc.description.abstractWe 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 examination of a popular benchmark problem. We obtain new results on the structure of the risk- sensitive controller by first proving concavity and piecewise linearity of the value function. Furthermore, we compare the structure of risk-sensitive and risk-neutral controllers.en_US
dc.format.extent189772 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoen_USen_US
dc.relation.ispartofseriesISR; TR 1994-71en_US
dc.subjectstochastic systemsen_US
dc.subjectdiscrete event dynamical systems en_US
dc.subjectintelligent servosystemsen_US
dc.subjecthidden markov modelsen_US
dc.subjectrisk-sensitive controlen_US
dc.subjectSystems Integration Methodologyen_US
dc.titleRisk-Sensitive Optimal Control of Hidden Markov Models: A Case Studyen_US
dc.typeTechnical Reporten_US
dc.contributor.departmentISRen_US


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