Control of discrete-time HMM partially observed under fractional Gaussian noises
Date
2011
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Abstract
A discrete-time control problem of a finite-state hidden Markov chain partially observed in a fractional Gaussian process is discussed using filtering. The control problem is then recast as a separated problem with information variables given by the unnormalized conditional probabilities of the whole path of the hidden Markov chain. A dynamic programming result and a minimum principle are obtained.
Description
Article deposited according to publisher policy posted on SHERPA/ROMEO, June 13, 2012
Keywords
Discrete-time control, Hidden Markov models
Citation
Robert J. Elliott, Tak Kuen Siu, Control of discrete-time HMM partially observed under fractional Gaussian noises, Systems & Control Letters, Volume 60, Issue 5, May 2011