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Stochastic optimal control subject to ambiguity
(2011)
The aim of this paper is to address optimality of control strategies for stochastic control systems subject to uncertainty and ambiguity. Uncertainty corresponds to the case when the true dynamics and the nominal dynamics ...
Information states in optimal control of stochastic systems: A Lie algebraic theoretic approach
(IEEE, 1997)
In this paper we introduce the sufficient statistic algebra which is responsible for propagating the sufficient statistic, or information state, in the optimal control of stochastic systems. Using a Lie algebraic formulation, ...
Applications of minimum principle for continuous-time partially observable risk-sensitive control problems
(IEEE, 1995)
This paper employs the minimum principle derived in [1], for nonlinear partially observable exponential of integral control problems, to solve linear-exponential-quadratic-Gaussian (LEQG) tracking problems using two different ...
Exact filters for Newton-Raphson parameter estimation algorithms for continuous-time partially observed stochastic systems
(IEEE, 1999)
This paper presents explicit finite-dimensional filters for implementing Newton-Raphson (NR) parameter estimation algorithms. The models which exhibit nonlinear parameter dependence are stochastic, continuous-time and ...
Maximum Likelihood parameter estimation from incomplete data via the sensitivity equations: The continuous-time case
(IEEE, 1999)
The problem of estimating the parameters for continuous-time partially observed systems is discussed. New exact filters for obtaining Maximum Likelihood (ML) parameter estimates via the Expectation Maximization algorithm ...
Stochastic optimal control of discrete-time systems subject to conditional distribution uncertainty
(2011)
The aim of this paper is to address optimality of control strategies for stochastic discrete time control systems subject to conditional distribution uncertainty. This type of uncertainty is motivated from the fact that ...
Optimization of Stochastic Uncertain Systems: Large Deviations and Robustness
(2003)
This paper is concerned with an abstract formulation of stochastic uncertain control systems, in which the pay-off is described by the relative entropy between the nominal measure and the uncertain measure, while the ...
Role of measure-valued decompositions in stochastic control
(American Automatic Control Council, 1994)
Following up the measure-valued decompositions of Kunita [1], and the martingale representation result for L2-processes of Bensoussan [2], we have recently derived in [3], necessary conditions of optimizing nonlinear ...
Optimal encoders maximizing directed information of channels with memory and feedback: Stochastic control and dynamic programming
(2011)
This paper is concerned with the stochastic control formulation of the capacity of channel with memory and feedback. The pay-off is the directed information from the source sequence to the channel output sequence, while ...
Risk-sensitive control, differential games, and limiting problems in infinite dimensions
(IEEE, 1994)
In this paper we present the solutions of the stochastic finite and infinite horizon risk-sensitive control problems in infinite dimensions, with μ, ε > 0, respectively, representing the risk-sensitivity and small noise ...